Hello alexismaslyczyk:
This is at the beginning of the guide document:

Then yes, the library must be built first so the linker can find it.
Actually there is now a Project Generator that simplifies the process, without having to set paths as in the document. See the details in this link:
New Kinetis SDK Project Generator is available!
Regarding your question, using Processor Expert is an option but not mandatory with KSDK. Basically PE helps you configuring and initializing the KSDK static drivers. In a project with PE + KSDK in your case you would need to add the components fsl_i2c and fsl_ftm (for PWM). Otherwise if not using Processor Expert just include the driver headers, initialize and call the corresponding Driver APIs as required. There are examples (without PE) on how to use the drivers in your KSDK installation:
C:\Freescale\KSDK1.2.0_KV5xF_1.0.0\examples\twrkv58f220m\demo_apps
C:\Freescale\KSDK1.2.0_KV5xF_1.0.0\examples\twrkv58f220m\driver_examples
For a FTM example using PE + KSDK see the project by colleague David Seymour:
FTM interrupt using KDS SDK
Regards!,
Jorge Gonzalez
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