xcode linking fbx sdk

Hello, I am kind of new to xcode. I've manage to setup both openGL and SDL, but now I'm trying to setup autodesks fbx-sdk, which allows you to work with the fbx file. the only problem is that I don't know how to link together everything, since they don't have a dedicated mac/ xcode tutorial.

The sdk comes complete with 2 .lib files, and a .h file that links to a bunch of other .h files. I get that I'm supposed to include the libraries, but that still doesen't solve my problem.
Is there a general way of linking the .h file to my project, so that I can just include it by typing #include <fbxsdh.h>, and not a path? When I include the .h-file by either copying it to my folder, or linking to it's original location, it's other links get totally messed up and not found. I take it that's not what you're supposed to do?

I would really appreciate help, or my thesis will suffer greatly and I'll have to switch to pc .

/P