On Windows, it is recommended that you utilize the installer.
On some distributions, StepMania may be available in your package repository, although the availability of current versions is not guaranteed. It is recommended that you compile source code instead.
The installation is simply done by dragging the folder contained within the .DMG file itself to your desired location.
Keep in mind, because of Apple's security concerns, a procedure is required in order to boot up the game.
In cases like this (Like the No Noteskins Found bug), you will need to open the terminal, and type the following command.
xattr -dr com.apple.quarantine /path/to/Moondance
You can alternatively simply type the command like this, and drag the folder into the terminal window to auto complete the folder location.
xattr -dr com.apple.quarantine