Here's what I do:
Instead of making the default target, do a 'make install', e.g.
make ARCH=armv6 PLATFORM=iPhoneOS install
This will install the files in a subdirectory of $HOME/Developer/
Platforms that mirrors the layout of /Developer/Platforms, in this case
$HOME/Developer/Platforms/iPhoneOS.platform/Developer/SDKs/
iPhoneOS2.1.sdk
The advantage of this is that you can make Xcode aware of the
installed files for both the simulator and the device by adding the
following under "All Configurations" in your project settings:
Header Search Paths: $(HOME)/$(SDKROOT)/include
Library Search Paths: $(HOME)/$(SDKROOT)/lib
You'll also need to link against the library, so add "-lGLU" to the
"Other Linker Flags" setting.
Chris