You can now download PPSSPP as a regular .dmg, which you can just open, and then drag PPSSPP to Applications, the way you install most normal Mac apps. The operating system might warn you that it's downloaded from the internet, just accept that, of course.

Where's my save data?

Currently, the Mac build's user data is stored in .config/ppsspp under your home directory. In there, you'll find a PSP folder, after which it's organized the normal way (it corresponds to the PSP folder on a real PSP memory stick, with the usual PPSSPP additions, like PSP/SYSTEM/ppsspp.ini and PSP/PPSSPP_STATE/.).