I'm wondering the exact same thing. We've created a bunch of using processing/supercollider.
What I'm trying to do is encapsulate this in a smoother more distributable engine, so naturally I'm looking towards rewriting it in C++. I'm already very familiar with the SFML graphics package but haven't used the audio package beyond playing wav files. I'm looking for a solution in C++ for real-time synthesis, it doesn't need to be more complex than generation of simple wave forms and low pass filters.
@Sponsz, have you tried doing this in SFML, and if not, have you found any other libraries to be of use?