Is it possible to open a self-extracting compressed Windows file on a Mac?
This is an old question, but I thought I'd throw this in anyway. With self extracting archives, you might be able to simply just run the sfx file and it should do it's thing. Make sure to give it executable permissions (chmod +x filename.sfx) and simply run that file in terminal (./filname.sfx) and it might just work.
The Unarchiver supports this, and is an all round great extraction utility.