I'm taking the same course. I was frustrated with the SML REPL, learned about rlwrap and wrote this up. Glad it helps. (I just posted the tip to the course's forums as well. Thanks for reminding me.)
Many thanks, regardless! I upvoted your thread in the course general discussion, and I hope any other course takers on HN do to. It would be a shame if the non-hn course takers missed out on the thread (https://class.coursera.org/proglang-2012-001/forum/thread?th...).