The first c++ library I tried to use within XCode to create an iphone application is ZBar.

Here is the steps to make it work !

1. Add the include path
Right click on the target in XCode and then "get info"
In build panel, scroll down to "Search path"
Double click 'Header Search Paths" to enter the recursive path :
/Users/olivier/Documents/IphoneDevProjects/3rdParty/iphone-os
(don't forget to click the recursive button)

2. Add the build framework
Right click on the framework 'folder' and select add existing framework.
Choose your 'library.a' files you need.

3. Modify filename
If you use c++ in an objective-c file (.m), you need to rename it to 'my_file.mm' to let XCode know you are using either objective-c and c++

4. Build and go !