Preprocessor macros are indeed great for debugging. There's nothing wrong with NSLog(), but it's simple to define your own logging function with better functionality. Here's the one I use, it includes the file name and line number to make it easier to track down log statements.
#define DEBUG_MODE
#ifdef DEBUG_MODE
#define DebugLog( s, ... ) NSLog( @"<%p %@:(%d)> %@", self, [[NSString stringWithUTF8String:__FILE__] lastPathComponent], __LINE__, [NSString stringWithFormat:(s), ##__VA_ARGS__] )
#else
#define DebugLog( s, ... )
#endif
I found it easier to put this entire statement in the prefix header rather than it's own file. You could, if you wanted, build a more complicated logging system by having DebugLog interact with normal Objective-C objects. For instance, you could have a logging class that writes to its own log file (or database), and includes a 'priority' argument you could set at runtime, so debug messages are not shown in your release version, but error messages are (if you did this you could make DebugLog(), WarningLog(), and so on).
Oh, and keep in mind #define DEBUG_MODE
can be re-used in different places in your application. For example, in my application I use it to disable license key checks and only allow the application to run if it's before a certain date. This lets me distribute a time limited, fully functional beta copy with minimal effort on my part.