Well.. as expected it does not works with XCode 4.0.2. I get this error when running finish_fpc_iphone_install.command (object file /Developer/Platforms/iPhoneOS.platform/Developer/SDKs/iPhoneOS4.3.sdk//usr/lib/crt1.o was built for different arm sub-type (6) than link command line (0) for architecture arm)

Downloading XCode 3.2.6 (4.1 gb) and I will try again.