Using RegexKitLite requires dragging only a source and header file into your project, and works really well - it offers most of the features you'd want from a regex library. It's basically just a very thin wrapper around an underlying framework that's already there.
Make sure the source type for header and .m file is "sourcecode.c.objc" after you add them to the project (Use "Get Info" on a given source file and look at the "General" tab).