This tutorial probably applies to very few people but whatever.
Step 1:
Download winebottler from here
https://winebottler.kronenberg.org/downloads(here is the direct download for the stable version so you don't need to risk getting adware or some shit:
https://winebottler.kronenberg.org/combo/builds/WineBottlerCombo_1.6.1.dmg)
Step 2:
Open it up and install just the "Wine" application.
Step 3:
Now you can double click any executable you find on the internet and run it on OS X.
Notes:
This is fairly buggy with gm8(.1) games so be aware of that. Not all fangames work. I've had experience with them randomly crashing or crashing after a couple of seconds. I'm pretty sure gm:s games work good for the most part.
Make sure to reply if you experience any issues, I will try to help.
Ciao