So, thanks to a quick reply from John Wiegley (who makes Ready Lisp), I was able to get sbcl running from within the terminal. If anyone else wants to know how to do this here is the magic incantation (assuming "/Applications/Ready Lisp.app/Contents" as the pwd):
./Resources/sbcl/sbcl --core ./Resources/sbcl/i386/lib/sbcl/sbcl.core-with-slime
If you're on powerpc you'll need to replace the i386 with powerpc. And I also suggest aliasing this command in your .bash_profile to make it friendlier. Back to my problem: when trying to run the sdl-demos I get the following (familiar) messages:
2008-05-11 09:13:30.048 sbcl[195:10b] *** _NSAutoreleaseNoPool(): Object 0x121a20 of class NSCFNumber autoreleased with no pool in place - just leaking
This is the same problem I saw when trying to get cl-sdl working on cmucl. It basically has to do with SDL and Cocoa. Cocoa needs special initialisation which SDL only provides for main methods. As there is no "main" method here, the initialisation does not happen and the demos don't work. So the next step will be to see if my old solution to this problem still works.