In order to build a iOS Application with sgcWebSockets library you must follow the steps from Embarcadero website to build a iOS Application.
Install PASServer in MacOS
Obtain a iOS Development Certificate
Login with a valid Apple Developer Account to https://developer.apple.com and create a new "iOS Development Certificate" from Certificates menu.
Create a new Identifier for your iOS apps and a new provisioning profile.
http://docwiki.embarcadero.com/RADStudio/Sydney/en/IOS_Mobile_Application_Development
Configure Bundle Identifier
Open the menu Project / Options / Application / Version Info and set your Bundle Identifier
Deployment
If your project requires some static libraries, copy these libraries in the Embarcadero lib/iosDevice64 folder:
C:\Program Files (x86)\Embarcadero\Studio\<IDE Version>\lib\iosDevice64\debug
C:\Program Files (x86)\Embarcadero\Studio\<IDE Version>\lib\iosDevice64\release
Read more about How Configure openSSL iOS
Provisioning
Finally, check in the menu Project / Options / Deployment, if the certificate has been successfully loaded.