Luckily, savegames are compatible between win/mac/linux
In Windows, they're located in the user account's roaming application data folder. This is different depending on which windows version you have, but it's easy to google for. On OS X, it's stored in ~/Library/Application Support/Nifflas/Knytt Underground/
However, the version of Knytt Underground on the OS X appstore is sandboxed and moves saves from ~/Library/Application Support to its sandbox. When The Infinity Hype Update is out, the game will always be sandboxed by default. The path to the sandboxed save location is ~/Library/Containers/com.Ripstone.KnyttUnderground/Data/Library/Application Support/Nifflas/Knytt Underground