If you haven't already, make a "~/Library/Application Support/gzdoom/" directory. Copy "HEXEN.WAD" and "HEXDD.WAD" (if you have it) from an existing installation of
Hexen: Beyond Heretic into it. From here GZDoom.app should run and be able to find the data. If it can't, it will prompt you.
If you only have one WAD file, like "DOOM2.WAD", it will just run that. If you have any other WADs, like "HEXEN.WAD", "DOOM.WAD", etc., it will ask which one you want to run.
For more information on getting the game's data onto your Mac check our
FAQ