No scripts are generated for you, you have to create them and put them in the folders in your custom project so that they do get copied to the web setup folders.
You can generate them using MS SQL Management Studio. Right click your db and choose generate scripts. Set the Use Database to false and choose SQL 2000 compatibility, then choose your procedures and tables. Save the script as 0.0.0.1.config in the SchemaInstalScripts/mssql folder of your custom project. As you make changes to the db over time you script off just the changes and increment your version 0.0.0.2.config and put in SchemaUpgeadeScripts/msssql
Hope it helps,