For the latest version of Cocos2D-iPhone (0.8.1), I put together a tutorial at: http://www.antonmills.com/?p=233
It includes everything you need to customize the Xcode template, add sprites and a little animation loop in an application like Hello World, it can be useful :)
also flawlessly check the forum posted by John, a very useful lot :)
Cheers, Anton.
antonmills
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