I've been working on the same thing pretty much. At first I did background image, then text as buttons. Later, I realized the font I used looks really bad when it was used under the SFML font stuff, so I ended up putting them through photoshop and exporting png images (that way I can put shadows behind the text to make them look good as well.
Once all that's done, I use a background image, then display the buttons (texts) on top of it, with the shadows and all, it looks really great. Really simple and looks the best out of all 3 of your choices IMO.
Here's a screenshot of the final version of the menu I did.