This is really a server question and not specific to WordPress.

Be sure `mod_rewrite` is enabled in `httpd.conf` Apache on your version of OS X. (Google that with your version of OS X.) Restart Apache after making changes to httpd.conf.

You may also need to add a blank .htaccess file in the /Users/yourusername/Sites folder so the file has the correct permissions and so WordPress can write to it from the Settings >> Permalinks screen in admin. And to do that, you will need to add the .htaccess file in Terminal, as OS X hides unix "invisible" files - files with a leading . - in the finder.