We will be using a copy of X-Change as an example. Please note that the process will still be the same for other Mac games.
Step 1. Right-click the renpy file and click the "Show Package Contents" option.
Step 2. Open the "Contents" folder. After you're inside, open the "MacOS" folder.
Step 3. Click the file that has your specific game name on it and launch.
The system might give you a warning. You can ignore it and press "Open"
If the above doesn't work for you, there may be a permissions issue with the files. Follow these steps to fix it:
Step 1. Open Terminal.app in your computer's Utilities folder.
Step 2. Type "cd " (including the space, excluding the quotes) and then drag-and-drop the folder of the game into your Terminal window, and press enter.
Step 3. Copy & paste the following code into your terminal and press enter.
find . -type f -exec grep -Il "#\!" {} \; | xargs chmod u+x