For me, it is located at /Users/username/Library/Application Support/Steam/SteamApps/common/dungeons of dredmor/ In that folder is the "Dungeons of Dredmor.app" and if you right click on that and click "Show Package Contents" you can browse all the internals. Most of the interesting stuff located inside the "MacOS" folder which is inside "Contents". Note that if you are running Mac OS X 10.7 "Lion" that the "Library" folder is hidden by default, however to get there simply open finder, click on the "Go" menu on the bar the the top of the screen, click on "Go to folder" and type "~/Library" and click the "Go" button.
