Personally I wouldn't recommend the precompiled headers approach for many reasons, check here:
http://qualitycoding.org/precompiled-headers/
Apple uses the precompiled headers for AppKit, UIKit, Foundation, CoreData,... because there are hundreds of *.h files that don't change at all in every compilation of you app. Your custom macros, however, take just a few bytes and the overhead is negligible (Unless you have hundreds or thousands of macros)