The problem is that you first have to be able to build the glossary file before you build your main latex document (similar to when you create a bibliography using Bibtex).
I found a very helpful blog post about all this here: http://www.ict-cloud.ch/2009/07/glossaries-acronyms-and-texshop.html.
I followed his steps and created a text file called "glossary_run.engine" that contained the following code:
bfname=$(dirname "$1")/"`basename "$1" .tex`"
makeindex -s "$bfname".ist -t "$bfname".alg -o "$bfname".acr "$bfname".acn
makeindex -s "$bfname".ist -t "$bfname".glg -o "$bfname".gls "$bfname".glo
Save this file (you must use the .engine extension) to Users/.../Library/TexShop/Engines directory.
(Note: I first tried this with TextEdit. Even if you remove the .rtf extension, this will not work. It will work if you copy and paste the code into Emacs and then save it)
Next, make the file executable. In terminal, navigate to the above directory and type
$ chmod a+x glossary_run.engine
There you have it. The next time you open TexShop, the glossary_run engine (or whatever you named it) will be in the dropdown list next to typeset. Before you build your latex document, select this engine from the drop down and click typeset to build your glossary file first.
To use the glossaries package you will need the following in your preamble:
Here is the test code I played around with. Instead of including separate files, I defined some terms and acronyms in the preamble. If I do it this way, I do not need the include terms, and instead just use the makeglossaries command: