The best option is to make an .app bundle. If you're using XCode as the official SFML Mac tutorial describes, then you should get an .app automatically.
If you want to distribute a simple zip file with your executable, then the framework must be located in [executable path]/../Frameworks. This is analogous to how Windows .dlls must be located in [executable path]/.
There might be a way to make a .dmg with an installer that takes care of the frameworks somehow but I haven't looked into that yet, and it's probably overkill for your first program.