Leaving the original answer below, but this has not been the recommended method to create a "release" binary for distribution outside of Xcode in a long time — for that you want to Archive: see answers above.
If you are looking to debug/test a Release build in Xcode, this approach is still relevant.
To create a release build, you have to edit your current scheme (⌘<) and highlight "Run [name of application]. On the right, select "Build Configuration" and choose "Release". Build as usual.
I found this question because I had already finished debugging my app and I wanted to make a release build for the app store. I always forget which menu item to use, though. This answer is a reminder to me and others next time.
Choose the Generic iOS Device from the active scheme menu.
Then go to Product > Archive.
You may have to wait a little while for Xcode to finish archiving your project. After that you will be shown a dialog with your archived project. You can select Distribute app... and follow the prompts.
More Help
This answer is for those who are already all signed up with a developer account and just need to get the archive from Xcode to iTunes Connect. If you need more help signing up for a developer account and getting an app to the app store, read the following links.
Here is my 'more detailed' list of steps for creating a release build > (Working on a team and a project that has many schemes and environments)
checkout a new branch like releases/x.x.x that contains all changes. (x.x.x is the version) (Its more about your team conventions)
Check to make sure your app bundleIdentifier is correct (might differ for each environment)
Team/account/licence: log into correct account that has provisioning profiles. then under signing and capabilities make sure your Team is correctly selected and has all certificates needed
Upgrade the version in project settings to x.x.x
Make sure the scheme you selected is correct
Make sure the URLs of API calls are pointing to your release environment
Its better to select 'Any iOS device' instead of a simulator or actual device
Commit any changes locally if you have any (this step is very important)
Validate to make sure all is good
Create an archive
Distribute your app for AppStore Connect
I use an apple proxy named 'transporter' that is pretty easy for uploading iPA to Appstore
Make sure Through this you can run build in your physical device if you are disconnected to System..
but if you will run the same code o n simulator then you will face some error then that time you need to change the scheme option Release to Debug