Hiura is right. For example to link with the System package, look at the name of the framework and drop the extension => the option to link against this framework will be "-framework sfml-system".
One more point for the users that may read this answer. If you're running Mac OS X 10.6, the default output architecture of gcc/g++ is Intel 64 bits (x86_64), but the SFML frameworks are (for now) only built for PowerPC 32 bits (ppc) and Intel 32 bits (i386). Thus in order to use the frameworks, you must compile the sources with the same architecture (ie. ppc or i386). To do so, add the option "-arch i386" or "-arch ppc" at compile time.
In the current example, it would give the following command line:
g++ sfmltest1.cpp -o sfmltest -arch i386 -framework sfml-system