Usually an IDE will have a default directory that it looks in for header files. It might be called
include/
(I haven't used Xcode either.) Regardless of the name, if you find the directory in which your other header files are, you can put the SDL header files in there. I recommend making a sub directory
include/SDL/
to stay organized, then in your source files you can add
#include <SDL/SDL.h>
.
It sounds like you might have put the SDL header files in the directory that your project source files are in, in which case the IDE would not know to look there, but you can still include them by using double quotes e.g.
#include "SDL.h"
.
If you want to add another directory besides "include" for the IDE to automatically look in, there is probably an option for that, but I can't help there.
Edit:
By the way, if you are looking for a good SDL resource I would check out
http://lazyfoo.net/SDL_tutorials/index.php . It's geared toward game programming, but it's very informative on the basics non the less.
Edit 2:
I just realized that the site I linked to has a guide for setting up SDL for Xcode too ;]
http://lazyfoo.net/SDL_tutorials/lesson01/mac/xcode/index.php .