Shortcut - El Capitan Dialog Box switch between option
Go to System Preferences then select Keyboard.

In the Shortcuts tab you will find an option for "Full Keyboard Access". Set the radio button for All Controls.

When confronted with a dialog box with buttons, Tab will now work to change focus between the buttons.  This setting can be turned off by key combination of ⌃ control+F7 (hold down the fn function key too if needed.)