I haven't really heard of Geany, but just by looking at the website, it seems to be more into the direction of Code::Blocks, but even more lightweight.
Geany hardly qualifies as an IDE, because it lacks a lot of basic features such as generating your makefile, code completion, managing lib dependencies, link edition and creating build targets.
It's "just" a text editor with the ability to compile your current .c/.cpp unit into a .o object.
More advanced features are just buttons for which you need to specify the command line callback.
So if you want to use Geany for a SFML project, you need to write your makefile first. Which leads to pick a tool for generating your makefile as soon you have to deal with more than a couple of source files or build targets.
If you're not used to write your own makefile and the tools chain which come with them, Code::Blocks is definitely the way to go, it's very easy to use and it even has default SFML project templates (linker settings + minimal code).