How to create my own filter with Spring MVC?

Alternative to Filters, you can use HandlerInterceptor.

public class SessionManager implements HandlerInterceptor{

    // This method is called before the controller
    @Override
    public boolean preHandle(HttpServletRequest request,
            HttpServletResponse response, Object handler) throws Exception {

        String xHeader = request.getHeader("X-Auth-Token");
        boolean permission = getPermission(xHeader);
        if(permission) {
            return true;
        }
        else {
            response.setStatus(HttpStatus.UNAUTHORIZED.value());
            return false;
            // Above code will send a 401 with no response body.
            // If you need a 401 view, do a redirect instead of
            // returning false.
            // response.sendRedirect("/401"); // assuming you have a handler mapping for 401

        }
        return false;
    }

    @Override
    public void postHandle(HttpServletRequest request,
            HttpServletResponse response, Object handler,
            ModelAndView modelAndView) throws Exception {

    }

    @Override
    public void afterCompletion(HttpServletRequest request,
            HttpServletResponse response, Object handler, Exception ex)
            throws Exception {

    }
}

And then add this interceptor to your webmvc config.

@EnableWebMvc
@Configuration
public class WebConfig extends WebMvcConfigurerAdapter {

    @Bean
    SessionManager getSessionManager() {
         return new SessionManager();
    }

    @Override
    public void addInterceptors(InterceptorRegistry registry) {
        registry.addInterceptor(getSessionManager())
        .addPathPatterns("/**")
        .excludePathPatterns("/resources/**", "/login");
     // assuming you put your serve your static files with /resources/ mapping
     // and the pre login page is served with /login mapping
    }

}