You need to copy the iPhoneOS5.1.sdk to the directory
/Applications/Xcode.app/Contents/Developer/Platforms/iPhoneOS.platform/Developer/SDKs/iPhoneOS5.1.sdk
and iPhoneSimulator5.1.sdk to
/Applications/Xcode.app/Contents/Developer/Platforms/iPhoneSimulator.platform/Developer/SDKs/iPhoneSimulator5.1.sdk
(You’ll need to restart Xcode to be able to select the SDKs in the Base SDK build option.)