Did you specify a relative path or an absolute one?
if you specify a relative path ( like . or sharedlibs/ ) and do
readelf -d myLeadwerksgame | grep -i rpath
it should still show it as relative, no?
In case it really doesn't work you could try using $ORIGIN, in order to specify that in code::blocks you need a bit of voodoo apparently;
-Wl,-rpath=\\$$$ORIGIN
you can make it a sub directory by changing appending /subdir/
Let me know how that works out for you