I got bitten by this today too. The problem seems to be that the same settings are used for everything, there's no difference between the simulator and the device settings, or at least I can't find a place to put them.
Now it appears, at least to me, that instead of having to set the iPhone Code Signing Identity field to "iPhone Developer:Roland King", and then pull my provisioning profile from the dropdown list, just leaving it at the default (iPhone Developer and Default .. etc ) works and it finds it, that's a change. It seems that if you actually go and set them, it tries to use the same settings for the simulator builds and that fails for .. I have no clue why.
I don't know what you're supposed to do if you have more than one provisioning profile as you couldn't leave it at default then.
I fixed this by the way without actually editing any files, I just clicked 'info' on the 'target' and went to the code signing section there and set everything back to default.
I think this doesn't really work quite right, the simulator builds should, I'm sure, ignore the code signing options and you should be able to set them for the phone builds to a specific code-signing profile.