Download ZSNES here. ZSNES does not create any preference files; its config files, save rams and save states are stored in ~/.zsnes, where ~ denotes your home folder.
It is vital that you use Xcode 2.4, which contains a correct version of nasm.
You will need to install SDL, available here. Installation of SDL is simple, simply drag the SDL.framework folder into /Library/Frameworks.
Then obtain the SVN tree of ZSNES (details here).
Finally, get the Xcode project files here. Create a directory named osx alongside docs and src in the directory zsnes (the one checked out from SVN). Place the contents of the dmg into the directory osx. Hopefully you will now be able to open the Xcode project file and build your own copy of ZSNES!
21/06/2006 - Enabled VSync in OpenGL video modes
18/06/2006 - Initial release