I installed MySQL on my Mac OS 10.6 about a week ago, and, after some playing around, got it to work just fine. It integrated with python MySQLdb and I also got Sequel Pro
Ok, I just spent a couple hours struggling with this same problem. I had installed the dmg file for MySql 5.5.20 (64bit) for osx 10.6 on my iMac with OSX 10.7.2 - and the /tmp/mysql.sock was missing!
The answer turned out to be simply install the MySQLStartupItem.pkg that comes with the dmg file and restart the system. This starts up the daemons upon startup (which I hoped would be optional).
Magically, my /tmp/mysql.sock file appeared and all is well!