In the Groups and Files window on the left hand side of Xcode, right click on the top level folder (which should be the name of your project).
Choose the Add submenu, and then the Existing Files... submenu.
This brings up a file browser you can use to select the file you want to import.
Then a panel pops down. Check the option for "Copy items into destination folder if needed"
press the add button, and the file is now in your project.
Edit:
This isn't the same thing as importing the header file and you can use the application you build elsewhere. Have a look in the documentation for adding libraries and frameworks to your application.