I have copied FindEigen3.cmake into my source directory.
I then added:
set(CMAKE_MODULE_PATH ${CMAKE_MODULE_PATH} ${CMAKE_SOURCE_DIR})
It worked for me, when I installed the eigen3 package (e.g. using -DCMAKE_INSTALL_PREFIX=/home/doriad/install), and also set the CMAKE_INSTALL_PREFIX variable of the cmake package that is using eigen3 to the same directory.
Because of the problems with findscripts, I've actually started using pkg-config instead. For that you need to enable pkg-config support in the eigen3 cmake, and use the pkg-config macro in your own cmake script. Advantage is that you don't need to set any environment variables anymore.
find_package( PkgConfig )
pkg_check_modules( EIGEN3 REQUIRED eigen3 )
include_directories( ${EIGEN3_INCLUDE_DIRS} )