I use them as library and I include it in my project as different libraries, but i keep the source code and all the stuff needed to build them.
Let say i clone my repository, where i have all the source code and necessary things to build my project and extlibs (SFML included).
I build with cmake and compile my project and libraries( here i have to compile SFML)
Next, i make a change in my project, build it, and only my project is built, cause SFML keeps as a separate library project.
Examples aside, i just wanted a way to tweak some values of SFML compilation without having to modify the SFML cmake files, as i have to do now every time i pull a new version.
If you want, i can give you my cmakefiles, where i have done the changes needed to do this, so you can see if it worth the change