I suspect this is not OS X specific. The documentation that you linked says “Sphinx is maintained separately and is not included in this tree.”

By your output I suspect you need to install the sphinx-build program. On Arch Linux I had to install it myself:

$ pacman -Qo sphinx-build
/usr/bin/sphinx-build is owned by python-sphinx 1.3.4-1
$ pacman -Qi python-sphinx
Name           : python-sphinx
Version        : 1.3.4-1
Description    : Python3 documentation generator
Architecture   : any
URL            : http://sphinx.pocoo.org/