There is no settings package in the tvOS section in Xcode, but you can select the Settings Package from the iOS section, it’s a bit complicated, but it definitely works.
1. File → Create → File
2. iOS → Resource → Settings Pack

3. Change the Bundle Settings
4. Build and run
NB tvOS and Xcode 7.1 are now in beta testing, perhaps Apple will add the "Parameter Settings" element in the tvOS section in the stable version.