I'm trying to get SFML working under OS X (10.4), too. I managed to compile a simple SFML Test application now, but I'm not sure if the way I did it is correct or if there is a simpler way.
What I did is the following:
1. I downloaded and extracted the SDK and then copied it to a suitable location (e.g. ~/Programming/SFML).
2. I opened the Xcode projects found in the xcode subfolder and built them. This creates libraries for all the parts of SFML (Windowing, Graphics, and so on).
3. I created a new project in Xcode, a simple C++ Console Utility or however this is called. This creates only a minimal project with a "main.cpp"
4. I the project settings, I added the include-directory within the SFML directory both to "Header Search Paths" and "User Header Search Path". I think the former would have been sufficient, but I tried the latter (i.e. the user path) first, and that alone didn't work.
5. I added the self-compiled SFML-libraries to the Xcode Project (Choosing Project -> Add to project)
6. Finally, I added both the AGL and the Cocoa Framework in the same way. Both frameworks can be found in /System/Library/Frameworks.
I'm not sure if all that stuff works with 10.5. In another thread, someone wrote that he was not able to compile the Xcode projects that come along with the SDK. In that case, you might try to add the libraries that can be found in the "lib" subdir within the SFML folder instead of the self-compiled ones.