Yes, you have to create that file if it doesn't exist. Don't forget to reload udev afterwards (and check that the /dev/input/eventX files really have the correct permissions).
For gksudo, are you sure Dolphin's binary is at /usr/games/dolphin-emu? That's where it is for me with the Ubuntu PPA, but it may vary for you. Use which dolphin-emu to check.
For gksudo, are you sure Dolphin's binary is at /usr/games/dolphin-emu? That's where it is for me with the Ubuntu PPA, but it may vary for you. Use which dolphin-emu to check.
