The BH package very conveniently packages a large part of Boost in a header-only library you can simply use in R via LinkingTo:
or our plugin.
However, there are parts of Boost for which you need to link as well and regex is one them. Filesystem, threads, program_options, ... are other examples. You can do that either in a package, or via an explicit linking instruction as i do in the Rcpp Gallery article that Gabor already pointed too. Note that that solution is not entirely portable; you would need a package to link to the right file extension on Windows, OS X, Linux etc.
In short, your dismissal of Gabor's comment is wrong as you seem to have overlooked that Boost Regex is not header-only.