How to set up a local calendar while using iCloud for other calendar on mavericks
A co-worker figured this one out for us:

In Calendar, go to Calendar: Accounts, select your accounts you are using in Calendar and uncheck "calendar" from the section where it says "Use With".

Once there are no internet accounts available, Calendar will allow you to set up an "On My Mac" local calendar.

Once that's set up, re-check the "Use With: Calendars" checkbox and all should be well.

Caveat: for us, we were able to check and uncheck this setting without having to set anything up again.  I won't guarantee this will be the case for you, so be sure you know how to set up your accounts again and as always, have backups.