Also, the .bin files (for custom levels) will need to be extracted manually.
http://madewokherd.nfshost.com/unknytt.tar.gzExtract that to your Knytt Stories/Worlds directory, then navigate to that directory with the terminal, and run the command python unknytt.py “filename” (where filename is the name of the bin you want decompressed. You may have to remove spaces from its filename, which is fine.)
EDIT: Also, the .bin file itself will have to be in that directory, of course.