Add the XCode 4 project for DSPFiltersDemo (in DSPFiltersDemo/Builds/XCode4/) and batch build all the targets and let me know if there are any problems?
Yep.
From the Xcode 4 Transition Guide:
“Xcode 4 reads and builds projects created in Xcode 2.1 through the latest release of Xcode 3. Projects created with Xcode 4 can be opened and built on Xcode 3.2 and later.”