Should probably move the thread to the Toad Data Modeler forum.
That said, when you say "when I generate a model", seems from your description that you are talking about generating the DDL for the model. Please clarify, or outline the steps you're taking to create the DDL.
If you've reverse-engineered the model from a database, then the schemas should already be defined as part of the model. If you've created a model from scratch, then the schemas can be defined in the General tab of each Entity's properties.
Most modeling products I know focus on the data model, not the database definition, so Toad Data Modeler won't create the (new) database for you... you'll need to work with your DBA for getting it set up.
Finally, as a "work-around" in case there's still a question, there's always the ability to add a "USE statement to any scripts that TDM generates to target a specific database where the objects should reside. Hope this helps.