How can I listen music on OSX without let iTunes take a copy about it?
If you want iTunes to play it but not copy, then as you said, uncheck Copy files to iTunes... Though that will still add it to iTunes' music, with a reference to its original location, which will then be irritating if that file is no longer there at some point in the future.

...however, if you just want to listen to it once then trash it/file it for future reference/etc without bothering iTunes at all, then just select the file &amp; hit the Space Bar - Quicklook will play it.