Comment by kcrisman for Open this folder ~/Library/TeXShop/Engines/Inactive/Sage/ and follow the instructions in About Sage.pdf and all should work fine. Make sure you have the Sage.app version installed.For $TeX$Shop users needing more assistance, I have written a ~50 page guide that should help.

We should probably have a link to this guide, which is a nice compilation of material that fits well together but is not usually found together, as well as an example in itself, somewhere on a subpage of http://sagemath.org/library.html - but I'm not sure exactly where...