In case anyone else is still stuck looking for how to do preprocessor macros, look for the Apple LLVM - Preprocessing section in Build Settings. Under it, you will see a section called Preprocessor Macros.
This is where by default, Xcode inserts the DEBUG=1 macro for the debug build configuration.
You can add your own here, and give them different values for debug, release and any custom build configs you may have.
To add one, double-click on the current value list for the config you want, and it'll display a nice little editor with one macro on each line. Just add your own macro name, and give it a value the same way the DEBUG one is done.
These can be checked during the preprocessor build phase using #if, #ifdef etc. to provide conditional code or values.
Hope that helps.