In linux, vgui.so and vgui2.so are in the directory above. Try adding them to the LD_LIBRARY_PATH env var or whatever the OS X equivalent should be. (that maybe why it didn't work in the first place, I don't know).

I guess it may be a whole different story on Mac. I haven't heard of anyone getting the native OS X Half Life running through Steam, though someone on reddit said they had it downloading...