Is there a way to have fiscal year calendars/accounting periods auto-generate. Or do they always have to be set up at year end?

I have never heard of a way to auto-generate them, but for something that is a one-a-year task, I doubt it would be worth building something even if it was possible. As you hinted, why not create as many periods as you like in advanced. We normally have 3 years in advanced open in order to post future-dated journals, etc.