This is unfortunately a pain in the butt, I went through the problems myself recently. The simple answer is to look at the updated environment which is part of my next article, you can find the source at: https://code.google.com/p/a8u-tutorial-sources/. (Under the Game directory, not the "environment" one, that's out of date.) The SFML and XO applications link against SFML 2 statically on all three platforms. In your above cmake code you are likely linking against shared objects on Linux which can cause other problems. I'll take a further look into your code listfile when I move downstairs and get on my laptop and see if I can't point out specific issues.
Oh, an important item of note. SFML links against glew already, so if you link statically as I do, don't bother trying to link glew, it's already there.