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I've used the chmod +x ThatGameMac.app/Contents/MacOS/ThatGame before in the terminal, but it still docent seem to work. every single time I type it, the computer responds with 

No such file or directory

I am having the exact same problem! not sure what to do...

try moving the game to /Applications and then type "chmod +x /Applications/ThatGameMac.app/Contents/MacOS/ThatGame"