Of course, it's possible but it would be kind of tricky to achieve the same, mostly if you want a bundle application.
First, you need to be fluent with Xcode; that is, you need to know how to link against frameworks/dylibs. If you don't know how to do that I recommend reading the getting started / user guide from Apple.
Next, if you build SFML as frameworks (which I recommend), you need to link against sfml-<MODULE_NAME>.framework. The header are in SFML.framework but you needn't to link against this one (theoretically).
If you choose to build SFML as dylib, the header are in /usr/local/include by default. You might need to add this path to the include search path with some versions of Xcode.
But doing this won't create a bundle app. And to do that.... you better start early in the morning... (you can create a Cocoa App project and then refactor it to remove the cocoa part, but it's not that trivial..)
So creating a project through the project wizard is simpler for the same/better result.
NB: when I say "build SFML", I really mean "build AND install SFML".