How I installed xgboost on OSX (https://github.com/dmlc/xgboost)

git clone --recursive https://github.com/dmlc/xgboost

cd xgboost/

cp make/minimum.mk ./config.mk

make

python setup.py install

cd python-package

sudo python setup.py install

Edit your .bashrc_profile and add the following

export PYTHONPATH=/xgboost/python-package

I included a demo program to test your install and a more complex on that works through the SF Crime data