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If your Sage app is /Applications/, for example, then from a Terminal window, run

$ /Applications/ example.sagetex.sage

You can instead add the directory /Applications/ to your $PATH, and then you'll be able to do

$ sage example.sagetex.sage

Actually, once you add the sage directory to your $PATH, if you have latexmk, you can just do

$ latexmk example.tex

and it will run LaTeX and sage as many times as needed for the document (and also bibtex and any other needed TeX components).