@ DaveM, Yes, It is providing me 4 Templates named as Cocos2d app, Cocos2d app - Mac, Cocos2d Box2d App, Cocos2d Chipmunk app. I'm using one of them called "cocos2D App" and I'm using Xcode 3.2.2, Xcode 3.2.3, and Xcode 3.2.5.
When I use Xcode 3.2.2 and 3.2.3 framework doesn't add by themselves, but when I use Xcode 3.2.5, frameworks add themselves in "Groups and Files" pane under the Frameworks folder and they work fine, but I don't understand why they are not adding in both the previous versions.