Ok, I did all the steps. Don't know why, but the first time I tried (following the official tutorial) I ended up with an error message like "Unable to find X library". This time all worked fine: the only strange thing was that the compiler said me it ignored the install project during the process, but I guess it's fine (?).
Btw, I compiled in debug mode. Do I need to compile in release mode?
Please forgive my ignorance, but at this point I don't know how to use/link libraries to my project. I want SFML files to be in my project directory, since I plan to work only on one project (or a few ones, but anyway HD space isn't an issue) and I need it to be as portable as possible.