You have to recompile the libraries, you just can't add them to the project directory, because the links are hard-coded when Fink compiled them, so your SDL_mixer is still looking at /sw/lib even though you included a copy in the project, because that's the path that was hard-coded.
I used the onscripter (insani version) + mirror moon's patch + my patches to clean up the Makefiles and stuff. Mirror moon's patch is available on the main page, while my patches and build are available on a previous post in this thread in case you're interested.
Are you using the MacOSX.insani Makefile? Because '-static' shouldn't be used, in fact it will always fail if you use g++/c++. I don't recommend using Fink, there aren't many dependencies for Mac OS X (around 10-12 I think), and they generally compile cleanly using autoconf './configure' anyway. This way you can force building non-shared libraries and use optimization CFLAGS that increase performance compared to Fink's way-too-conservative defaults.