The long wait is over! The search for a perfect IDE for Haxe and NME is finally over. Thanks to the hard work of Joshua Granick. He is still in development of this feature, but for me I found it perfectly alright to use it in my Mac OSX.
So the IDE is Mono Develop and making it a Haxe and NME IDE is just enabling the addin for it. Presently its a manual process but thats ok I think. The Addin is on the github.
Everything is just straight forward. Just a little thing on command line is to create a .hxml file in OSX. I am not sure if thats the case in other OSs. Navigate to your newly created project folder from Terminal and fire up the command below (where {projectName} should be replaced with your own project name)

haxelib run nme display {projectName}.nmml mac>{projectName}.hxml

Thats all to it. Just open up MonoDevelop and enjoy code hilight, code hinting and compilation from inside the IDE.

Happy haXe -ing