"On Mac OS X" vs. "in Mac OS X"

To me, at least, "on Mac OS X" refers to things that run on top of Mac OS X, while "in Mac OS X" refers to things that are part of Mac OS X.

In computer terminology, "on" typically refers to things that involve a "platform":

I sell my music on Amazon.

My website is on the World Wide Web.

"In" will refer to specific programs, stores or components:

I sell my music in the iTunes store.

To open a file in Excel...

The confusion around Mac OS X is that it qualifies as both a platform and a specific piece of software depending on context:

My application runs on Mac OS X.

To delete a file in Mac OS X...

So the correct answer is that it depends on the specific usage. David Schwartz's answer provides a good rule of thumb for determining which usage is correct in a given scenario.