Where are audio device files in OSX?

Probably because OSX uses different naming conventions for devices files and because OSX uses Core Audio audio subsystem (not ALSA or OSS) there are no devices such as:

/dev/sdp
/dev/audio
/dev/mixer
/dev/snd/*

So, where are audio devices file in OSX?

According to the Mac OS X Developer Library:

The Audio family does not export device interfaces for applications to access audio hardware directly. However, it does provide a device interface that the Audio Hardware Abstraction Layer (Audio HAL) uses to access drivers derived from the Audio family.

So I guess you need to find more information on "Audio HAL"

Here are some suggestions.

If you are talking about Hardware Abstraction Layer (HAL) devices, then the path is

/Library/Audio/Plug-Ins/HAL/

By default there is one bundle there: on my Mac iSightAudio.driver, is the driver for the built-in webcam.

Other devices may use Kernel Extensions; bundles that end in .kext, are located in:

/System/Library/Extensions/