How "run a .sage file"?

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

$ /Applications/Sage.app/Contents/Resources/sage/sage example.sagetex.sage

You can instead add the directory /Applications/Sage.app/Contents/Resources/sage 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).

If you just double-click the sage file that will run it with Sage.app.

If you use Emacs and AUCTeX, then I'm working on support for automatically detecting and running Sage as necessary, together with support for automatically finding the sage executable in Sage.app.