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the #define statement should be done on the project build settings. (e.g. Project -> Build Settings -> CM4... -> Compiler -> General (Preprocessor Definitions).
In the PDL folder you can find the source files for the dsp library (Program Files (x86)\Cypress\PDL\3.0.1\cmsis\dsp_lib\Source). You can copy the source files you need manually to your project or you can use these source files to compile a library and then link it into your project.
Thank you Cfmm, I will try it like that and see what happens.
I am hoping that the Creator developers will streamline this more, I mean the header file is already in place,
maybe it is work in progress?