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You need to copy the SageMath directory to somewhere on your hard drive – you can't just run ./sage from within the directory in the virtual drive that you get when you open up the dmg file. Once you've copied it somewhere and run ./sage, you should see

Rewriting paths for your new installation directory
===================================================

This might take a few minutes but only has to be done once.

followed by lots of messages like

patching /Users/palmieri/Desktop/SageMath/build/make/Makefile-auto
patching /Users/palmieri/Desktop/SageMath/config.status
  (etc.)

At this point, you won't be able to move the SageMath folder – its location has been burned in during the patching process – so pick a good location. (You can always copy a fresh SageMath folder from the dmg file, if you want to start over.)