Here’s my screenshot. Maybe xcode4 will build .a into different directory.
Build and run tests on real device is almost the same to the simulator, the only difference is you had to get a provision, that’s all.
I think the key of your problem is:
# is box2d compiled successfully?
# where’re the libbox2d.a libcocos2d.a located?
# is the link path correct to find this folder?