What you're missing is that adopting the protocol makes objects of kind CoolClass ready to function as delegates of any NSApplication object (provided you follow through on the declaration and implement all required methods of the protocol). Declaring conformance to the protocol also prevents compiler warnings when you set instances of the class as an application's delegate.
But for a specific application object (say, the shared NSApplication object that Cocoa creates for you) to know to send messages from the protocol to a specific CoolClass object, you must set the object you want to receive those messages as the specific application object's delegate.
What this means is that some time before the messages you want to receive would be sent by the application, something needs to instantiate a CoolClass object - call it c
- and tell the application, "Hey, your delegate is c
over here, so send delegate messages to the little feller from now on."
What that boils down to is that these lines of code must execute before the application finishes launching:
CoolClass *c = [[CoolClass alloc] init];
[[NSApplication sharedApplication] setDelegate:c];
The easiest way to have this happen is to let Interface Builder do the work for you: let the MainMenu nib instantiate your CoolClass and also set the cool class object as the application's delegate when the nib is loaded, as others have suggested.
To do so, open MainMenu.xib. Drag a Custom Object into the xib and change its class to CoolClass in the inspector. Ctrl-drag (or right-click drag) from the application object in the xib to the CoolClass object and choose "delegate". Save, build, and run.