Note: if you don't want to install both Xcode 3 and Xcode 4, do as follow :
Download xcode_3.2.6_and_ios_sdk_4.3.dmg from connect.apple.com, mount the dmg, go to /Volumes/Xcode and iOS SDK/Packages and run MacOSX10.5.pkg, then move /SDKs to /Developer/SDKs. Next in CMake set CMAKE_OSX_DEPLOYMENT_TARGET to 10.5 and CMAKE_OSX_SYSROOT to /Developer/SDKs/MacOSX10.5.sdk. Now you can rebuild SFML.
EDIT: or, like Ceylo said, you can move the SDK to /Application/Xcode.app/..../SDKs.