I found a solution of sort.
First of all, my premise was to be able to use RMySQL with InfiniDB without adding a MySQL installation to the mix.
(As per wikipedia) "InfiniDB is accessed through a MySQL interface". A recent paper on InfiniDB website on R and InifiniDB ("R Statistical Computing Quick Start Guide") listed simple instructions to install and use InfiniDB in R with RMySQL without mentioning any pre-requisite.
I found this to be incorrect. Within my CENTOS installation I wasn't able to compile the RMySQL package. The missing mysql.h was preventing it.
The solution I found was to install mysql-devel with yum. Yum installed also mysql client programs and shared libraries as a dependency.
On the other hand the total install with yum was 3MB and I can still say I didn't need MySQL server installed (at least!) as RMySQL+InfiniDB need just the MySQL libraries to work.