Well, I found the answers to my questions.
First of all, by default C::B on Ubuntu doesn't link statically the projects you make.
Secondly to do that, you have to build wxWidgets with "static" support. You do that by:
./configure --disable-shared
Look in the INSTALL file for more details and more options on "static" build. The good thing is that different builds of wxWidgets can co-exist.
Now for C::B to statically link wxWidgets for your projects you have to do this(I am refering to the nightly builds of C::B).
1. Create your project. Let's name it "hello"
2. Choose Project->Build Options...
3. From the list on the left choose the "hello" item.
4. In the "Compiler Settings" tab choose the "Other Options" tab
5. Replace `wx-config --cflags` with `wx-config --static=yes --cflags`
6. In the "Linker Settings" tab in the "Other Linker Options:" list replace `wx-config --libs` with `wx-config --static=yes --libs`