I copied the iOS 5.1 SDK here:
Applications/Xcode.app/Contents/Developer/Platforms/iPhoneOS.platform/Developer/SDKs
But, I stil
From the terminal, run this command, then restart XCode:
cp -r /Developer/Platforms/iPhoneOS.platform/Developer/SDKs/iPhoneOS5.0.sdk /Applications/Xcode.app/Contents/Developer/Platforms/iPhoneOS.platform/Developer/SDKs/
Note, substitute 'iPhoneOS5.0.sdk' with the name of whatever SDK you're interested in copying.
@benvolioT answer is correct, but you need permission:
sudo cp -r /Developer/Platforms/iPhoneOS.platform/Developer/SDKs/iPhoneOS5.0.sdk/
Applications/Xcode.app/Contents/Developer/Platforms/iPhoneOS.platform/Developer/SDKs/