The preferred way to install mitmproxy - whether you're installing the latest release or from source - is to use pip. If you don't already have pip on your system, you can find installation instructions here.
A single command will download and install the latest release of mitmproxy, along with all its dependencies:
pip install mitmproxy
When installing from source, the easiest method is still to use pip. In this case run:
pip install /path/to/source
Note that if you're installing current git master, you will also have to install the current git master of netlib by hand.
There are a few bits of customization you might want to do to make mitmproxy comfortable to use on OSX. The default color scheme is optimized for a dark background terminal, but you can select a palette for a light terminal background with the --palette option. You can use the OSX open program to create a simple and effective ~/.mailcap file to view request and response bodies:
application/*; /usr/bin/open -Wn %s audio/*; /usr/bin/open -Wn %s image/*; /usr/bin/open -Wn %s video/*; /usr/bin/open -Wn %s