By default, the OS X installation does not use a my.cnf, and MySQL just uses the default values.
To set up your own my.cnf, you could just create a file straight in /etc, or do the following (excuse me if I say anything which is obvious to you, but this may help complete OS X beginners who are not familiar with the Unix command line):
Log in to OS X using an administrator-level account (to keep things simple lower down)
Open Terminal (in Utilities folder under Applications folder)
cd /usr/local/mysql/support-files/
sudo cp my-huge.cnf /etc/my.cnf
and enter your admin password when prompted. You could do this from a non-admin account by using the su command, but that's probably a bit scary for some people ;)
You will now have a copy of my.cnf in /etc (just in case you don't know, that means the etc folder directly under the root folder, not under MySQL's install folder)
You can edit it with a text-editor such as TextWrangler by using File->Open Hidden, or if you are happy to use the command line, use:
cd /etc
sudo nano my.cnf
To exit without saving, press CTRL+X, to Save then exit it's: CTRL+O then CTRL+X