Do I have to make the dumplings this way? Is it okay if I use my own way?

You can use any filling you like and cook them in any way you want - fried, boiled, steamed or a mixture of boil/fry or steam/fry. Your personal taste should always take precedence over the origins of recipes. For example, you may prefer to precook your filling mixture, which insures that it's never under-cooked (especially if the meat is used). However, make sure that the precooked mixture has cooled down and has dried out, by allowing it to cool down in a colander. Excess liquid will rip open the dumpling skins. (In other words, avoid using a wet mixture.) Tip: If using cabbage, use a few pinches of salt and let it sweat separately in a colander for at least 15 minutes to extract its liquid.