Sometimes (and sometimes without apparent reason) it is helpful to tell Xcode to do a "Clean" first before you build - especially if you are playing with settings. So that would be the first thing I would try. It is becoming a matter of habit for me to do that now...
When you try to build, Xcode should also produce both a list of errors and warnings, as well as a build log. If you are able to post those, I can take a look at them to see if I spot anything. In this case, it might also be helpful to have you Zip up your Xcode project and send it.
If you would like to see some example Xcode projects, the externals in the Jamoma package have been updated to use Xcode 2.2. To get the projects, go to the terminal and type this:
cvs -z3 -d:pserver:firstname.lastname@example.org:/cvsroot/jamoma co -P Jamoma
The projects are in the Jamoma/library/externals folder. They include plain Max objects, MSP objects, and even a UI external. Some of the projects (the audio objects) have an external dependency on TTBlue (also available from SourceForge) but the rest should compile okay *if you change the prefix header settings in the target*. Why Xcode doesn't seem to save this, I am not sure. If should be that the Prefix Header is set to "../jmod.prefix.pch".
Needless to say, I think there are still a few wrinkles in Xcode - or at least in my understanding of it.
Those warnings are harmless, and the project you sent me compiles fine here. The external works just like it is supposed to on my machine.
The Jamoma object compiled fine for you, but it failed on a custom post-build step where the extern is automatically copied into another folder (which you don't have) - so that's what is happening there.