From the docs it says about schemes:
\"An Xcode scheme defines a collection of targets to build, a configuration to use when building, and a collection
Contrary to the accepted answer above in Xcode 7 (at least) schemes definitely do maintain their own debug and release settings. You can maintain separate debug and release "schemes" and use them to switch quickly between the two builds using the shortcut control-command-left/right bracket (previous / next scheme).
The advantage of this is being able to quickly jump back and forth between a release and a debug build when doing finicky performance testing. Release builds with optimizations turned on take forever and mess with the stack traces, etc.