When creating your project in Delphi, and afterwards, generate a xcode compatible project (dpr2xcode.exe) there are some additional steps to be taken before the project will compile in xcode.

In the generated iOS version you will notice an xcode folder, with an xcode project file. Before opening this project file in xcode you need to copy the correct source files from the installation directory to the directory of this your xcode project:

The last step to take is to rename the tmsdefsios.inc file to tmsdefs.inc file in order to compile correctly. After opening the project in xcode, click the run button, which will automatically compile and run the project in the simulator. Of course you can select to run it on a real device as well.