Hello, I do not have mac OS but I suppose it works the same way on every OS. When you download effekseer animations, make sure to keep the file hierarchy as it is. I know some creators use the Texture & Models folders but it's not mandatory.
For example if you download a ***.efkefc file with .png next to it(or any other files), please keep the png(and other files) next to it . You can create a subfolder in your project 'effects' folder: "effects/myEffect1/ (paste all here)".
If something was not clear do not hesitate to ask