Thanks for the report.  As much as possible, IDLE and the underlying Tk GUI toolkit it is built with try go conform to the interface guidelines of the platform (e.g. Windows, OS X, Unix X11) it is running on.  On OS X, application configuration options are expected to be found in a "Preferences" menu option under the application menu (the second menu item in the single menu bar at the top of the screen) and that is what happens with IDLE on OS X, rather than having "Options" -> "Configure IDLE" in the window menu bars as on other platforms.  It also has the standard OS X keyboard shortcut of CMD-Comma.  The IDLE documentation in the Standard Library doc set and the IDLE help file should be updated to note this and other platform differences.