So far the only working solution I have found is to use:
[NSApp setApplicationIconImage: myImage];
But this message is sent after the default icon is already in the dock, so it's not working: the icon is initially set to the default application icon. I have not found the correct place to send this message.
I have read this: How can I set the icon for a Mac Application in Xcode? but it seems a bit too old to be useful for XCode 4.3
What is the standard way to set the dock icon, and even more importantly, where in the documentation is this described ?