SFML_ROOT is the only thing that you should define, if SFML is not installed in a standard path (which is often the case on Windows, rarely on Linux). It should be defined when you configure the project ("Add entry" button if you use cmake-gui, or "-DSFML_ROOT=..." if you call cmake from the command line), not hardcoded into CMake files -- because it will be different for every user. Note that you can also define it as an environment variable, if you don't want to do it everytime you create a new project.
And yes, FindSFML.cmake must either be copied to the Modules directory of your CMake install (once its done, you can find SFML in any CMake project), or define the CMAKE_MODULE_DIRECTORY (not sure about the name) variable to the path that contains it.