You can actually build your external (cmd-B or Build/Build). What you can't do is debugging it. In order to do that, you have to set the active executable as Max Runtime (Project/New Custom Executable, just set the path for MaxRT and accept all the defaults), so that XCode knows _what to run!
Actually you don't need that tutorial anymore - everything you need to get started is in the new example projects. For most situations, they're just ok as they are - you only have to change the product name, change the name of the source file in the target et voilà.