What is the MacOSX.sdk file? Where do I find it?

As mentioned by Mark in the comments the instructions are made for older versions of Xcode.

In my opinion you can simply link a MacOSX sdk to /Developer/SDKs:

sudo mkdir -p /Developer/SDKs
sudo ln -s /Applications/Xcode.app/Contents/Developer/Platforms/MacOSX.platform/Developer/SDKs/MacOSX10.8.sdk /Developer/SDKs/MacOSX.sdk

additionally you can add a link named MacOSX10.6.sdk

sudo ln -s /Applications/Xcode.app/Contents/Developer/Platforms/MacOSX.platform/Developer/SDKs/MacOSX10.8.sdk /Developer/SDKs/MacOSX10.6.sdk

Another tip is to edit build/core/combo/mac_version.mk and changing: mac_sdk_versions_supported := 10.6 10.7 10.8 to mac_sdk_versions_supported := 10.6 10.7 10.8 10.9 10.10

I strongly recommend to use a virtual machine (Mountain Lion) and an older Xcode version (4.6.3). This version as well as all other versions are freely available with an Apple ID at Downloads for Apple Developers

Older versions of Xcode used to install themselves and files into the /Developer folder.

This is no longer the case, so you would need to find / download the same version of Xcode that your package expects or update the package.

If you are a paid developer, you might be able to find that old package amongst the downloads and re-install it. Worst case, you could ask developer support for a download if you can't find it once you're logged in. This will likely be far easier than trying to change the code to work with the new Xcode setup/layout.