I got it to work finally!
It works if I right click project->Build options...->Search directories->Linker and add the directory there.
If I go Settings->Compiler...->Search directories->Linker and add linker search directory, then running the executable from C::B won't work as SFML's lib directory won't be added to LD_LIBRARY_PATH!
What i don't understand is that why such difference between global and project settings?
Also LD_LIBRARY_PATH should contain SFML's lib directory regardless of settings in C::B because I've added it to ~/.bashrc! This is the reason why i don't understand why
Executing: xterm -T test -e /usr/bin/cb_console_runner LD_LIBRARY_PATH=$LD_LIBRARY_PATH:. /home/ejamsa/Projects/sfml/test/bin/Debug/test (in /home/ejamsa/Projects/sfml/test/.)
doesn't work as this command only appends current path to LD_LIBRARY_PATH
Thank you, oBFusCATed, for helping me to get it work!
If anyone knows answers to questions above, can you please shed some light on that?