I've never used CodeLite but since the IDE uses gcc as well as many other IDEs the setup should be quite similar.
If you want to know how to use CodeLite, then you should go to their website and/or use Google to find more information.
To use SFML, you simply have to make sure that the prebuild binaries are compatible with your compiler (e.g. the SFML 2rc binaries do not work with GCC 4.7.0) and then you have to setup the paths to the include and library folder and tell to linker to link against SFML. You might look at the official tutorials to see on how to those things in other IDEs and then you might be able to port if for CodeLite.
Have you ever taken a look at Code::Blocks (specially the nightly builds from the their forum)? For Code::Blocks there's even an official tutorial for SFML 2.