First of all you need to download the SFML SDK. Then, in order to start developing SFML applications, you have to install the following items:
SFML is available either as dylibs or as frameworks. Only one type of binary is required although both can be installed simultaneously on the same system. We recommend using the frameworks.
SFML depends on a few external libraries on Mac OS X. Copy the content of extlibs to /Library/Frameworks.
If you use Xcode, installing the templates is strongly recommended. Copy the SFML directory from templates to /Library/Developer/Xcode/Templates (create the folders if they don't exist yet).