(Posting for reference purpose only. So I will answer right away)
I used Cocos2d 2.0 on Xcode 4.6.3.
I faced a 'Lexical or Preprocessor issue' about kazmath/SomeFile.h file not found.
Looked around but could find only outdated questions. I added Cocos2d to iPhone project and will discuss the steps i have taken so that it can help people looking for doing this and facing issues...