Preferences -> General -> Continue building after errors.
Sure, that's a youcan solution, but it doesn't address a genuine issue -- Xcode being non-deterministic about whether the file you're looking at is syntax-checked or non-syntax-checked-yet AND there being a few situations where it matters.
However, I can foresee a future where Xcode's behavior solves one or other of these conditions, in which case it would no longer be an issue.
IAC, it's already been strongly hinted that Xcode 5 might be bringing a different solution.
In all fairness, the “compile one file” solution won’t work here either – which code unit should Xcode compile if you’re editing a header?
It really does happen that you know which four (say) files the header fix will affect, and you want to finish with those files before moving on to an unrelated set of errors.
Unfold the error – you’ll get a list of “in file include by x.h; in file included by y.h; in file included by z.m”
I was saying that there is nothing to unfold. There is no direct indication that there's an error.
If you happen to go to the relevant indirectly-included header, you'll see an error icon there, but that's not a lot of help if you don't know there's actually an error, or where it is. The problem may manifest itself as a lack of syntax coloring, or some other apparent Xcode "misbehavior", in the original source file.