How can I load/save minecraft worlds to a USB drive, on a Mac?

You should create a symbolic link between the two folders (saves and the saves folder on your USB drive). Instructions on doing this with your Minecraft worlds are shown at http://minecraft.gamepedia.com/Tutorials/Saved_data_Dropbox_guide_saves_only. Instead of using dropbox as your destination folder however, you can use a folder on your USB drive. The quote below from the Minecraft Wiki (link above) shows you how to do this on Mac OS using the terminal.

ln -s ~/Dropbox/Minecraft/saves ~/Library/Application\ Support/minecraft/saves

Replace ~/Dropbox/Minecraft/saves with the destination folder.