Hurray! I've finally got Cocos2dx working!

It's not the easiest thing to set up, but I got there in the end using this tutorial:

http://www.raywenderlich.com/11283/cocos2d-x-for-ios-and-android-getting-started

At some point I'll post a shorter version of the tutorial, and include a couple of extra bits I had to do to make it all work.