After few hours of searches and tests, I finally find a simple way to get the key event with Mac OS X target.
All you have to do is subclass CCGLView and to add keyDown and KeyUp method to your new classes.
If you use a xib file, you will need to change the CCGLView class to CCGLCustomView.
Here is the code:
@interface CCGLCustomView : CCGLView
-(void) keyDown:(NSEvent *)theEvent
if (event.keyCode == 123) NSLog(@"keyDown left");
else if (event.keyCode == 124) NSLog(@"keyDown right");
-(void) keyUp:(NSEvent *)theEvent
if (event.keyCode == 123) NSLog(@"keyUp left");
else if (event.keyCode == 124) NSLog(@"keyUp right");