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