Create page as a file in my theme?

Is it possible to create a single page by just adding a php file inside my theme and add header and footer to it?

Yes, you can.

I have tried out just adding a file and do like I described above. But without success.

Whether or not a template will be called into a page will be dependant on the template hierarchy. How you name your template is very very important. You have to stick to a naming convention that fits in with the template hierarchy. Any names used outside that hierarchy will result in your template not loaded.

Also, never mix template names between hierarchies. You cannot name a single template archive-{$name}.php, it will never work. If you have a custom post type which matches $name, the hierarchy will (wrongly) load that template for the custom post type archive page.

If you need any template to be used outside of normal hierarchy, you’ll need to use the generic template_include filter or the specific {$type}_template filter to include that specific template