When I started writing this post, I was having troubles installing the debugger on OS X.  I had read through all the other threads but still couldn't seem to figure out what I needed to do to make it work.  In the process of asking my question, I documented step by step what I was doing, and it worked!  I figure this may be useful to somebody else....
I have compiled my own php.  Here is my configure command:
 	
	| ./configure' '--prefix=/Library/PHP5' '--with-apxs' '--with-iconv' '--with-openssl' '--with-zlib' '--with-gd' '--with-xmlrpc' '--enable-exif' '--enable-wddx' '--enable-soap' '--enable-sqlite-utf8' '--enable-ftp' '--enable-sockets' '--enable-calendar' '--with-bz2=/usr' '--with-curl' '--with-mysql=/usr/local/mysql' '--with-mysqli=/usr/local/mysql/bin/mysql_config' '--with-pdo-mysql=/usr/local/mysql/bin/mysql' '--with-libxml-dir=/sw' '--with-imap-ssl=/usr' '--with-jpeg-dir=/sw' '--with-png-dir=/sw' | 
Here is my configure command for dbg.  It compiles and workes.  
 	
	| ./configure --enable-dbg=shared --with-dbg-profiler --with-php-config=/Library/PHP5/bin/php-config --prefix=/Library/PHP5/ | 
Near the end of the configure command, it gave me an error that permission was denied for ./build/shtool.  The attributes on this were RW, no execute bit is on by default.  I chmod 755'd the file, ran configure again, and the error went away.  
make and make install worked without error, and installed dbg.so into /Library/PHP5/lib/php/extensions/no-debug-non-zts-20050922
In my php.ini file, I added the following lines:
[debugger]
extension=/Library/PHP5/lib/php/extensions/no-debug-non-zts-20050922/dbg.so
debugger.enabled=on
debugger.profiler_enabled=on
debugger.ports=7869, 10000/16
It works!  (At least it shows up in phpinfo!!!!)  I hope this helps somebody!  I'm not sure if adding the execute bit on the shtool file helped or not, but that's all I can see that I did differently this time than the other 3 times I tried.
Peace,
Matt