On Mac OS X this is moderately complicated. OS X uses the SSE unit for all FP math by default, not the x87 FP unit. The SSE unit does not honor the interrupt options, so that means that in addition to enabling interrupts, you need to make sure to compile all your code not to use SSE math.
You can disable the math by adding "-mno-sse -mno-sse2 -mno-sse3" to your CFLAGS. Once you do that you can use some inline assembly to configure your FP exceptions, with basically the same flags as Linux.
short fpflags = 0x1332 // Default FP flags, change this however you want.
asm("fnclex");
asm("fldcw _fpflags");
The one catch you may find is that since OS X is built entirely using sse there may be uncaught bugs. I know there used to be a big with the signal handler not passing back the proper codes, but that was a few years ago, hopefully it is fixed now.