I´m developing software based on C++ in Xcode and want to have (at least) the same convenience for code documentation as if I was developing for Swift or objc.
Exam
You cannot. According to Apple's Xcode release notes, as of Xcode 8.3
3rd party docset support is now deprecated and will no longer be supported in a future release of Xcode. (30584489)
There are alternate doc browsers, like Dash which allow you to install your own documentation. But this does not give you what you're hoping for.
I have verified that adding a C++.docset into ~/Library/Developer/Shared/Documentation does not work. (likely a directory left over from an earlier Xcode) In fact, removing this directory entirely does not affect Xcode 9.x from correctly displaying the default documentation.