I copied the iOS 5.1 SDK here:
Applications/Xcode.app/Contents/Developer/Platforms/iPhoneOS.platform/Developer/SDKs
But, I stil
The BEST SOLUTION is to go to the XCode Preferences and to install older versions of iOS simulator / SDK from there, as explained here : https://apple.stackexchange.com/questions/47323/installing-xcode-with-ios-4-3-device-simulator
Hope this helps :)