I watched a video with xcode 3, that shows a button \"Design\" that displays a UML diagram, but I can\'t find how to do it with xcode 4.
Search for "Xcode Design Tools" in Help. That will show you a tutorial that will walk you through creating a diagram.
EDIT >>>
It looks like the instructions are actually for XCode 3 and that UML Modeling was removed from XCode 4. The only modeling I could find in XCode 4 is Data Modeling: File>New>New File... and then look under 'Core Data'.
Class Modeling alternatives for Objective C
You might also want to check out Doxygen.