It is completely possible to compile mono up using OS X. However, there is not currently a native look for System.Windows.Forms, though this is being worked on.

In a nutshell, compile mono in much the same way as you would for linux, but do not use fink for any of the dependancies. You are better off compiling the dependancies up from source.

NOTE I do not have a Mac, so can only go on emails sent to me with this information.