I just downloaded and installed Delphi XE2. I opened a sample iOS firemonkey HD application (the one Lanusse shows on his videos) and theres no export to Xcode option.
Should I do something to be able to export code to xcode?
You might want to look at the Embarcadero FAQ on Cross-platform development for XE2 or the Getting Started with iOS FAQ
Look for the FireMonkey Prerequisites. Here is the direct link which addresses your topic: http://docwiki.embarcadero.com/RADStudio/en/FireMonkey_Platform_Prerequisites