To get around this, you can explicitly specify the path to the ImageMagick executables in your code. This avoids the command-not-found error that otherwise occurs when using CImg through the debugger. You can dink around with trying to bend XCode to your will, but I've found this is just way easier.
Here's the related code, note you will need to change the path to suit your system:
cimg::imagemagick_path( "/usr/local/bin/convert" );
I put this at the beginning of the code's main(.) function allowing proper debugging.