Under Lazarus you have to specify this in each Project file. Not a daunting task, but it involves a bit of setup for each new project.

Just go into Project -> Compiler Options...

And you will see in the first upper text field with the label 'Other Unit Files (-Fu)'. That is where you specify all of the folders with the units you need. The '...' buttons on the side will give you a new window which you can better add the paths you need.

Once this is done you just save it and this project will check those paths each time it compiles.

Some units also require that you put in the SDL\Pas\ path into the 'Include Files (-Fi)' field as well. This is due to some of the JEDI conventions with regards to .inc files.