The terrific particle designer is pretty much the standard application for designing particle effects with the Cocos2D engine.
You may decide however that you want to create a particle effect using a specific sequence of images such as a string of letters for an educational game. If that is the case you are going to have to dive into a little OpenGL ES.
Fortunately, this is a problem that Jake Gundersen tackled recently, and you can see how well his solution works in this video:
You can get some more info, and download the example here.
Jake has put out a lot of great content recently mentioned on this site such as his example of using iOS 5 core image filters on a live video feed, and the Core Image section of iOS 5 by tutorials book (aff). Let’s hope he keeps it up!