Normally you would create at least one controller object (the "application controller", just an NSObject subclass) where you could write methods that get called by menu items. Then in Interface Builder, you instantiate the controller and control-drag from the menu item to your controller object and select the target method. You could also have more controller objects that manage specific parts of your application.
I think if you download some of the simple Cocoa applications and examine how they are constructed (including looking at all the connections and objects in IB), it will help you. That said, the process is not exactly the same for every developer or every application. There is often more than one way to go about it.