UVs are only needed if you wish to display a normal map, ambient map, and your polypaint/diffuse map. If you only want a simple shaded material, then UVs and baking shouldn’t be required.
If you need UVs and your model doesn’t have them then you can use UV master or the UV Map subpalette to create a temporary set of UVs - provided your mesh doesn’t contain too many vertices for zbrush to try and calculate. If this is the case, then you’ll either want to use zremesher on a clone or run it through decimation master first ( if this is just for previewing your sculpt). Baking can be handled through zbrush’s Texture Map and Normal Map subpalette, or through it’s Multi Map Exporter plugin (which will let you bake all 3 map types at once). Another alternative would be using Xnormal to bake the maps. Either path should have quite a few tutorials available. If this is just a preview and you use normal maps on temporary UVs, I’d recommend sticking with Object Space for the preview as there is no sense in jumping through the various hoops required for a proper seamless tangent space normal map until everything is finished. If everything is finished, then I’d recommend baking in xnormal