XCode 4 includes unit tests by default, make sure that when you create a new project, that you check the 'Include Unit Tests' option when on the screen where you choose your project name. This will create a new target called <YourProduct>Tests, ie if you called your project MarcosGame, it will create a target called MarcosGameTests. It will also create a new file group called MarcosGameTests where you should add your test files.
Whenever you create a class that you want to test, make sure you add it to your Tests target (you get this option on the screen where you give your new class a name). Then you should also add a test file to your Tests group (via the new file route, choose the Objective-C Test Case file), and make sure you include it in the MarcosGameTests target, but not the main target (MarcosGame). Stick your tests in here.
Write some tests, then when you're ready to run them, choose the 'Test' option from the Product menu, and any test failures will show up like build errors.