With some fiddling I managed to get the RLX code running under OSX.  Some of the RLX related packages got patched out thanks to dto's fast response, the only hurdle was the lispbuilder libraries.

Step by step guide for sbcl:

i) Get the SDL and SDL_image frameworks from their respective sites:
SDL-1.2.13.dmg
SDL_image-1.2.7.dmg
These should install under /Library/Frameworks/, there should be 2 new directories there called SDL.framework and SDL_image.framework.

ii) get & load asdf-install
> (require 'asdf-install)

iii) install lispbuilder-sdl, lispbuilder-sdl-image and cocoahelper
> (asdf-install cocoahelper lispbuilder-sdl lispbuilder-sdl-image)

iv) At this point lispbuilder-sdl-image should complain that it cannot load the SDL_image framework.  Open up the file in ~/.sbcl/site/lispbuilder-sdl-image/cffi/library.lisp and make sure the darwin line is the following:
  (:darwin (:framework "SDL_image"))

iv) Retry compiling the lispbuilder-sdl-image and it should work this time:
> (asdf:oos 'asdf:load-op 'lispbuilder-sdl-image)
 Pull (or clone) the latest version of RLX from the git repository, as instructed in the installation guide.

v) Always make sure cocoahelper is loaded before you run RLX!  It might be a good idea to add a (require 'cocoahelper) to rlx.lisp.

vi) Run the game as usual with:
> (rlx:play "vm0")