How do I automatically create a case on inbound email?
It can't do that out of the box but you could theoretically write an extension to use hook_civicrm_emailProcessor to create the case when an email comes in. But unless you always want the client to be the From address, you'd have to figure out how to decide who is the client if there's multiple To/Cc's. You'd also have to decide what to do when the client/case already exists for an incoming email or you might get duplicate cases.

For the second part of your question, there used to be a link that appears on the far right-hand side of activity search listings, and a button at the bottom of the page when you view activities, but it looks like maybe this has changed in the latest version. But I can see it under search results in the dropdown under Actions (e.g. after doing Search - Find Activities).