Before when I was making physics objects in Cocos2D, I used VertexHelper (Johannes Fahrenkrug), which is great and all, but there were a lot of things that you had to consider, such as you had to define the vertices yourself (meaning: ‘click “around” each sprite to define it’s vertices’) and you have to make sure that you don’t accidentally create any concave polygons (what are concave polygons again? check Wikipedia), and then you have to copy paste the generated code into your project. VertexHelper served me well and all, and it was free.
But PhysicsEditor did make me life a whole lot easier.
Andreas Loew wrote tutorials on his blog on how to use PhysicsEditor with Cocos2D: