There are Multiples ways to Transform an image on ICO for favicon Creation Mac OS X…
But if you want a way to Save it in ICO Directly from Inside Photoshop CS5/CS6 on a Mac System you Currently need a to Install a Photoshop Plugin.
Download Photoshop CS5/CS6 Plugin:ICO Format for Mac OSX
- To Install it Drag in:
Applications > Adobe Photoshop CS5 > Plug-ins > File Formats
Then Restart Photoshop to have it Enabled
- Saving a file as .ico:
Save as > Format > ico