First, the instructions seem to indicate that if you copy the file `sagetex.sty` into a directory with your latex file, then the system will be able to find it. Can you first verify that this is the case?
After that, can you try putting sagetex.sty in the default search location? On the mac, that's `~/Library/texmf`, so I guess you should put `sagetex.sty` in `~/Library/texmf/tex/generic/sagetex/`. Note that a new "feature" in Mac 10.6 makes the `Library` directory hidden. You can navigate to in with the `Terminal`, or select it from the `Go` menu (you have to hold down the `Option` key to see it).
Edit by kcrisman: with the upgrade to [SageTeX 3.0](http://trac.sagemath.org/ticket/19072), the default location in Sage will in fact be `$SAGE_ROOT/local/share/texmf/tex/latex/sagetex/` which should be placed in `~/Library/texmf/tex/latex/sagetex/`, I believe.
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