Building Embedded System for DE2-115 Board

You are correct, the next step for the system you're interested in is to run the system builder.

The newest version of Quartus has actually moved from the SOPC builder to the QSYS builder, but you can use either.

When you create a system design file by launching qsys or sopc builder from Quartus, save it and run the generation, the design will automatically be linked into your Quartus project. You can then instantiate a module that connects the system to the inputs and outputs in your top level design file.

Once that is done, normal quartus compilation will produce the .sof

To do C development one usually launches the integrated eclipse environment from QSYS or SOPC builder.

I strongly suggest you read the attached PDF as it outlines much of this process. Though you can skip a bit of it since your top level design file and pin assignments have already been automatically generated.