Your comment strongly implies you are a developer, as users don’t get the pilot_apps contents. This is more or less “internal” and should go on the developer mailing list (or better yet, you should put it in the documentation once you’ve learned the answer [or point me to where you looked and didn’t find it so I can fix it]). If you’re not a developer – wow, how did you get this far!?
If you’ve added a pilot app, you modified pilot_apps.src.settings. In a list at the bottom of that file is the list of libraries linked against the projects in pilot_apps (devel, protocols.xxx, core.5-1, numeric, utility, etc….). Adding CXXtest to that is the way to get SCons to link it. I have no idea if that will work, by the way — we don’t support linking the test code against a pilot app, although you can and should write CXXtest unit tests inside the test folder (which builds with cat=test).