Some people have complicated ways of installing RMagick on OS X. If I was using Solaris or something I would have to do that, but I’m not.
First, you need DarwinPorts. Just run the package. Then:
sudo port install rb-rmagick
The big benefit to this is that you can uninstall the packages via
port uninstall packagename if you need to. Building directly from the tarballs makes it almost impossible to uninstall.
Note, this will, however, install DarwinPorts versions of Ruby, Ruby Gems, etc. See the comments for more details. Rails works great with the DarwinPorts Ruby, though, and in the end it will save you a lot of trouble to switch over.