I have been watching this thread and still have a hard time seeing how this is causing you a problem, so I redid my usual steps and am typing out how I do it. This assumes you already have cmake and a git client installed on your machine, and in your path variable. Omit steps you see as superfluous. Also note that this is on windows so the '/' is used instead of'\', but both work.
First, I make a folder named Repositories. Inside Repositories I make a GIT folder(I use other source control types so this just puts them all in one place for me.). Open the git folder and on any white space(where files would normally be listed) hit control-shift and right click(on white space). Click 'Open command window here' from the context menu that pops up. Now type 'git clone
https://github.com/SFML/SFML.git' and let it finish. If git is not in your path then, in the command window, type 'set PATH=%PATH%;your_git_folder/bin' and try cloning again.
Second, open cmake-gui. If cmake-gui is not in your path then type 'set PATH=%PATH%;your_cmake-install_folder/bin' and then run 'cmake-gui'.In the 'Where is the source code:' field browse to where you cloned SFML. For me that is 'D:/Repositories/GIT/SFML'. Now copy that and put it in the 'Where to build the
binaries:' field and add to the end of it '/build'. Click configure and it will ask you if you want to create the build directory. Click yes. Now a selection window comes up to ask you which generator to create for the project. There really is no need to choose 'Codelite' or 'Codeblocks', just choose 'MinGW makefiles'. Those will work for your TDM install and click 'Finish'. Cmake will then check and be sure it can find everything. Your TDM install /bin dir needs to be in your path. If it is not, close cmake and in the command window put 'set PATH=%PATH%;your_TDM-install_folder/bin' then run cmake-gui again.
Third, set the 'CMAKE_INSTALL_PREFIX' to your build folder path you set above and add on '/bin'. All this does is copy all the binaries/headers to the 'bin' folder so you can locate them easier. Then, hit configure again and then 'Generate'. This, at default, will build the release libraries and put them in the 'bin' folder you set for 'CMAKE_INSTALL_PREFIX'. Go to your build folder and type 'mingw32-make' and the build process should begin. You can type 'mingw32-make -j' to use as many threads as your cpu supports to build, but for some things that causes compile problems so I just leave off '-j' by habbit to avoid errors. Once that is finished, type 'mingw32-make install'. This will copy all the binaries to the 'bin' folder. Now go one by one in creating the other library types (debug/static). All of them will be found in the bin folder.
Now you can load up Codelite, start a project, set all your lib paths, and it should all work.
This is just how I do it. Others do it differently, but the end results are the same.
Also take not of what eXploit3r wrote. Static builds have more lib requirements.