After loading the project into XCode..
Under Groups and Files
1) right click on UICatalog<-(or your demo project name) and select Get Info
2) in Base SDK select IOS Simulator 4.1
3) Close and save info pane
4) expand Targets exposing UICatalog<-(or demo project name)
5) right click on UICatalog and select Get Info
6) in Base SDK select IOS Simulator 4.1
Combo box in UICatalog project pane (upper left corner) should switch to "Device - 4.1 | Debug" instead of "No Base SDK"
if you Build and Run at this point you might get another error. If so, open the UICatalog combo and switch from Device to Simulator
The "official link" mentioned above states…
"Note: Targets can override build settings defined at the Project level. "
..but should probably read "will" instead of "can"