Step 1 - Download cocos2d-x
Download your cocos2d-x directory
As a pre step 1 I would uninstall some of the previous version of the cocos2d Xcode templates by following this stackoverflow post.
Step 2 - Download & Install Python
Since the script "cocos2d-x/create-multi-platform-projects.py" is a python script. You will need to download and install Python 2.7. Skip to Step 3 if you have already downloaded and installed Python. After you've downloaded your python-2.7-macosx10.6.dmg. Open it up and double click on "Python.mpkg". I use Pacifist to install the multiple package file. Python will be installed at the "/usr/local/bin" directory by default. Be sure that directory is in your environment search PATH.
Step 3 - Run the Cocos2d-x create script
Go into your Cocos2d-x directory and run the script below. Be sure to replace the project name and your project identifier to your own. I'm assuming that you are creating a C++ project, thus "cpp".
cd cocos2d-x python ./create-multi-platform-projects.py -p [ProjectName] -k [com.project.myproject] -l cpp
Step 4 - Open up your project
Your iOS Xcode project is now located at "cocos2d-x/projects/[ProjectName]/proj.ios"