Typically, you use the Report Model Project in Visual Studio 2005 to build a report model. You can also generate a report model directly from a data source that has been deployed to a report server. For example, if you're using SQL Server Management Studio (SSMS), you can connect to an instance of Reporting Services 2005, expand the Data Sources folder, right-click a data source, and select the Generate Model menu item. Similarly, in Report Manager on the Properties tab of a data source you'll find a Generate Model button that performs the same function.
Interestingly, using a data source to generate a report model is the only way to create a model for an Analysis Services 2005 database. When you consider that a cube is already a data model itself, this makes sense. Cubes aside, you'll probably want to take the time to use a Report Model Project to build and customize a model for most relational-based report models.