I have a very similar problem, I'm just trying out the latest release of Code::Blocks, which also supports an SFML project template.
This template doesn't seem to work out of the box, but I managed to make it compile after some modifications. However, when I try to run the program, I also get an error that libgcc_s_dw2-1.dll is missing.
The file doesn't seem to exits in mingw's bin directory, there's only a libgcc_s_sjlj-1.dll in that dir. Adding the -static-libgcc linker option doesn't seem to help either.
I use the version of MinGW that was included with Code::Blocks, which seems to be 4.4.1