1. Download the LDraw complete.zip from here: http://www.ldraw.org.../downloads.html and extract it.
2. Take the ldraw folder inside and put it somewhere relatively permanent.
3. In Finder, select the Readme.txt file inside the ldraw folder and from the application bar click File, Get Info.
4. Under General, copy the folder path (ends in "ldraw") listed under Where.
5. Open "ldraw_import.py" in a text editor (TextWrangler, TextEdit, etc.) find the line starting with "ldraw_base" and paste the ldraw path copied in step 4 between the quotes after it.
6. Open Blender and open File > User Preferences > Addons > Install Addon...
7. Browse for "ldraw_import.py" and open it.
8. Find the LDraw imported under the Addons window and click the check mark.
That feature actually doesn't exist in the OS X version (not sure about the Linux version). To do that, you would need to open Terminal and do the following:
When you load the script into Blender files, and right after you open Blender itself, open the Console Window (Window>Toggle System Console) and the Addons menu.
cd "<the folder blender.app is in>" cd blender.app/Contents/MacOS ./blender