It is possible to add this code in your functions.php file if you want.
The best way would be to add this code as a new file under wp-content/plugins.
You may want to change the name and other metadata at the top of the file (the large comment block).
Then, go to your list of plugins and activate your new plugin.
I will be adding a guide on all of this soon, in the brand new how-tos section on this site.
with regards