Ahem. As a non-fan of fink, I'd recommend compiling ImageMagick yourself (that's what I did). But, if you stick with fink, don't install xfree86, use Apple's. If you tell it to ignore the X11 dependancy, it *should* find the installed X11 when configuring ImageMagick. If not, I'd use fink to install all the other libraries you want, but do IM by hand (it's a simple matter of "./configure && make && make install").
(Speaking of library problems, why won't Boost build on my OS X system?!?!)