Flex Data Service and Stand alone Flex Builder don't compile Java classes but MXML and ActionScript. You may install Flex Builder as plugin to Eclipse that can compile Java before. In this way, the Eclipse IDE can have both Java and Flex projects and compile both as well.
In my Eclipes, I can create Java and Flex projects side by side but nest one in another. Usually, I create Java project and put many MXML/Actionscript files in its folders. I compile Java by Eclipes but MXML/ActionScript from website.