The size options you can create for are:
Once you have your images, my logo is simple so I only created one 512 master copy, from photoshop save as a tiff with transparency and Image compression:no compression, Layer Compression:discard all layers and save a copy.
Then open (you need the developer tools xcode):
Then drag you 512x512 tiff on to the largest square I then let it auto scale this image for the smaller options. Then just go File Save As. and you *.icns file is created.
A very helpful tutorial was.
A generic guide to integrating the icns into your mac app is:
Because I am working on a project setup by xCode I can just replace the file in: