When I create new project I didn't select core data. However I need to use core data for my app.... How can I change the setting?
You can build a new project w/CD enabled and either raise the bridge or lower the water - copy the contents of your existing project to the new one, or copy the CD bits from the new one to your existing project. You can't just toggle that setting.
See the older SO thread for details that should still basically apply, I think: https://stackoverflow.com/questions/6821719/adding-core-data-to-existing-project-in-xcode-4