I personally use png, as it supports transparency.
My workflow, which is probably unlike anyone else's, is:
1.) Draw my image in Keynote or Numbers.
2.) Drag select everything you want, and copy.
3.) Open it in a free program I downloaded called ClipEdit, available here:
http://www.everydaysoftware.net/clipedit/
(Go to File > New > Clipping from Clipboard)
4.) Copy again.
5.) Open it in Preview
(Go to File > New from Clipboard)
6.) Crop.
7.) Save.
8.) Drag file to Xcode.
Excessively complicated? Probably. Works? Perfectly.
(I use ClipEdit between the other apps because otherwise Preview will fill in the background of the image as white instead of transparent.)