http://en.wikipedia.org/wiki/Wizard_(software)
A software wizard or setup assistant is a user interface type that presents a user with a sequence of dialog boxes that lead the user through a series of well-defined steps. ...
Its typical name notwithstanding, there's no magic to making them. When I've made them before I used a single window and loaded the sub-views from nib files. The subviews were made the usual way: by hand in IB. The logic was all coded in Objective-C.
AFAIK, Apple has never called them "wizards", only "assistants". Maybe there's some sample code available on the web.
Cocoa wizard and
Cocoa assistant are the obvious search terms.
If you're looking for a way to simplify making, maintaining, or managing the subviews, maybe there's a higher-level tool oriented towards website developers that uses HTML + JavaScript. If you find that, you could embed a Webview in the window and load the HTML + JS content locally. That approach might be more sensible if you expect to make a lot of assistants. For a typical program, I expect that crafting the HTML + JS underpinnings in order to use a hypothetical web-based wizard-maker may well be more work than just making the subviews with IB.