It's certainly possible to develop on a Windows machine, in fact, my first application was exclusively developed on the old Dell Precision I had at the time :)
There are three routes;
- Install OSx86 (aka iATKOS / Kalyway) on a second partition/disk and dual boot.
- Run Mac OS X Server under VMWare (Mac OS X 10.7 (Lion) onwards, read the update below).
- Use Delphi XE4 and the macincloud service. This is a commercial toolset, but the component and lib support is growing.
The first route requires modifying (or using a pre-modified) image of Leopard that can be installed on a regular PC. This is not as hard as you would think, although your success/effort ratio will depend upon how closely the hardware in your PC matches that in Mac hardware - e.g. if you're running a Core 2 Duo on an Intel Motherboard, with an NVidia graphics card you are laughing. If you're running an AMD machine or something without SSE3 it gets a little more involved.
If you purchase (or already own) a version of Leopard then this is a gray area since the Leopard EULA states you may only run it on an "Apple Labeled" machine. As many point out if you stick an Apple sticker on your PC you're probably covered.
The second option is more costly. The EULA for the workstation version of Leopard prevents it from being run under emulation and as a result, there's no support in VMWare for this. Leopard server, however, CAN be run under emulation and can be used for desktop purposes. Leopard server and VMWare are expensive, however.
If you're interested in option 1) I would suggest starting at Insanelymac and reading the OSx86 sections.
I do think you should consider whether the time you will invest is going to be worth the money you will save though. It was for me because I enjoy tinkering with this type of stuff and I started during the early iPhone betas, months before their App Store became available.
Alternatively, you could pick up a low-spec Mac Mini from eBay. You don't need much horsepower to run the SDK and you can always sell it on later if you decide to stop development or buy a better Mac.
Update: You cannot create a Mac OS X Client virtual machine for OS X 10.6 and earlier. Apple does not allow these Client OSes to be virtualized. With Mac OS X 10.7 (Lion) onwards, Apple has changed its licensing agreement in regards to virtualization. Source: VMWare KnowledgeBase
When you create the persistent store coordinator, if you are using the SQLite persistent store type, the coordinator will automatically create the database for you if it does not already exist. You don't have to create the store file yourself.
EDIT: to clarify, the only thing you should be modifying is the Core Data object model (.xcdatamodel) file. An NSPersistentStoreCoordinator object, when it is created with a store file or the addPersistentStore: method is called on it, will do all the necessary setup of the backing store. This includes creating the file, any tables it may contain, etc.
Creating or modifying any type of persistent store yourself (especially SQLite stores) is completely unsupported by the SDK and the Core Data framework.
Best Solution
You can do this without leaving Xcode at all (see end of answer for XCode 4 instructions):
I picked this up on page 143 of More iPhone 3 Development
Update 12/6/2010:
Alternatively, you can just select one or more of the entities in the entity list, as shown below:
And then press ⌘N to bring up the New file dialog shown above. If you accept the default location using this alternative, the generated classes will be put under your .xcdatamodel. Drag them manually to classes (Ref: Stanford, Developing Apps for iOS: ep. 12. Core Data and Table Views).
Update 3/26/2011 (Xcode 4):
For XCode 4, simply bring up the New file dialog (⌘N) and select NSManagedObject subclass from Core Data. The wizard will ask you for which enities it should create classes.