I’m not aware of a UDP wrapper for Cocoa yet, but you can use BSD sockets from within Cocoa. Just make the necessary C calls and wrap them in Cocoa methods. If you don’t know about programming with BSD sockets, read this. It’s a great introduction and teaches you both TCP and UDP:
http://www.ecst.csuchico.edu/~beej/guide/net/
The General/CocoaAsyncSocket project contains an easy to use UDP sockets class:
http://code.google.com/p/cocoaasyncsocket/