Ideally, the readme.md has already been created by the time l reach here or no ?
Depends, if you followed the tutorial precisely it should already have been created in the step "Create the repository 3.". You can use the ls command in the WSL terminal to see if it exists.
If not, where do I create the readme ?
In the base directory of the git repository you cloned from Github. You can do so with the command echo "blaaaa" > README.md (this will overwrite the file if it exists already).
In the WSL terminal or the vs code terminal ?
See I think this is your misunderstanding right here. The tutorial tells you to enter code ., where code means "start VS Code" and . means "in the current directory". You are supposed to then use the file explorer inside VS Code to select the README.md and modify it.
This may not work as intended in WSL. If you enter which code and there is no output it won't work. Is there any reason why you are using WSL instead of just installing git for Windows? It comes with a terminal emulator, so there should be no problem following the tutorial and you can eliminate WSL as a possible friction point.