Question: I have downloaded a theme and installed in my drupal website. All the static contents are already created but I would like to add some custom features to the website. 

Should I create custom module(s) and installed into my website or are there anyway to add those features, thanks.

Answer: 
If the features are not provided by a contributed module and you can't fullfill your requirements by Site-Buildung you should create a custom module. On <http://drupal.org> is an introduction [Developing Drupal Modules](https://www.drupal.org/developing/modules)
For "smaller", theme related features you don't even have to create your module - you can place your code in template.php file in your theme directory.