I did this in Xcode 6 and here is how. Go to File>New>File choose 'Resource' under iOS and select GPX File. This will ask you to add the new file to you project like when you would add a class, add you file name. The file name you choose will be the name of your location. Mine is SaoPaulo.gpx file. Open the file from Navigator panel. All you have to do is add floating point values of lat, lon and your custom location name as shown below.
Run you code and you should see the tilted blue arrow in debugger area, now you can simulate to your custom locations. Obviously I have three custom files.
<?xml version="1.0"?>
<gpx version="1.1" creator="Xcode">
<wpt lat="-22.907104" lon="-47.063240">
<name>SaoPaulo</name>
</wpt>
</gpx>
If you notice at the bottom of the dropdown list there is an option 'Add GPX File to Workspace..' I tried using this by creating my own GPX file from TextEdit and add the file to my project but somehow my file's contents got messed up due to the extra Ascii characters from the Text app. So the above method is a lot easier.