Another trick to compile OpenMP code in XCode is to install a plug in use GCC as the compiler. The steps I used in some scientific code are given here:

http://osupdocs.forestry.oregonstate.edu/index.php/Compiling_in_MacOS_X#MacOS_X_Compiler

Update: The above process works great up to XCode 7, but I recently "upgraded" to MacOS Sierra and XCode 8. While one can still compile using GCC, the linking step fails. The problem is an compiler option trying to link to Sierra SDK (which I did not need for a c tool). Although similar options caused no problems prior to XCode 8, the link now says a library has the wrong format. I am still looking for a work around. I did find that MS Visual Studio Community 2015 (free) can compile my code and OpenMP is an supported option (along with other features, like Java, that are slowly being removed from XCode).

Note: If you use an XCode plug in for GCC, be sure to save a copy because each update of XCode will delete your installed plug in.