The following instruction checks if the file at path exists:

string path = GetiPhoneDocumentsPath();
if (System.IO.File.Exists(path) == false) XmlTextWriter textWriter = new XmlTextWriter(path,null);

Then if the file does not exists it creates a new one, it all works well in unity execution, but when I execute the program in iphone, the file is never created.

Here's the function to obtain the path:

public static string GetiPhoneDocumentsPath()
{
    // Your game has read+write access to /var/mobile/Applications/XXXXXXXX-XXXX-XXXX-XXXX-XXXXXXXXXXXX/Documents 
    // Application.dataPath returns              
    // /var/mobile/Applications/XXXXXXXX-XXXX-XXXX-XXXX-XXXXXXXXXXXX/myappname.app/Data 
    // Strip "/Data" from path 
    string path = Application.dataPath.Substring(0, Application.dataPath.Length - 5);
    // Strip application name 
    path = path.Substring(0, path.LastIndexOf('/'));
    return path + "/Documents/myFile.xml";
}