I have a project I created with Zend Framework 1.10.2.
I usually use the application/models directory for new model files I create, and the auto loading is fine, so for example - My_Model_SampleClass is located application/models/SampleClass.php.
However, I have just created a custom Exception class, and it does not fit in the models directory inside the application dir (at least the way I see it, I could be logically wrong), so I've created it in the root "library" dir, but I can't seem to find the correct class name + file name to use, so auto loading will be done correctly.
BTW, I use a namespace for all custom classes I use, let's assume it's "My".