OpenMP is not a library but a language extension to C, C++ and Fortran. It requires support built into the compiler. Xcode uses compilers based on the LLVM infrastructure. It used to provide two different compiler front-ends - Clang and GCC. Of those two, the former does not have support for OpenMP (yet). The GCC front-end provided some support for old OpenMP features but is no longer part of Xcode. It used to be based on a very old GCC version (4.2.1) and not actively updated since Apple started throwing all their resources into improving Clang.
In other words - no OpenMP support in Xcode 5.1. You can build your own modern (but non-LLVM) GCC from source and use it on the command line, but it's hard to integrate it with Xcode.