Installing dual boot Sierra and Kali-Linux
I have managed to get Kali Linux running from USB with persistence, on a Macbook Pro (Retina, 15-inch, Mid 2015) with macOS Sierra.

Here's my guide explaining the process I used. I've tried to make it easy to follow, whilst still being as detailed as possible.

Part 1: Preparing the USB

Note: if you don't want persistence, just create 1 partition and finish the guide at part 3.


Open disk utility (Finder > Applications > Utilities > Disk Utility).
Select your USB device.
Choose erase.
Name: Untitled | Format: Mac OS Extended (Journaled) | Scheme: GUID Partition Map.
Click done.
Select your newly formatted USB device.
Choose partition.
Click the "+" symbol at the bottom of the window.
Name (left partition): Persistence | Name (right partition): Kali Linux.
Format (both partitions): MS-DOS (FAT).
Click apply.
Click partition.


After this process, your partitions (Kali Linux and Persistence) may have renamed themselves to "K L" and "P" respectively. If this does happen, simply rename them, and follow the rest of this guide. 

Part 2: Installation


Download your ISO of choice (I have tested this with Kali Linux full).
Drag the ISO file to your desktop.
Rename to "boot.iso".
Download the following EFI files: https://dl.dropboxusercontent.com/u/49525238/efi.zip
Extract the "efi.zip" file to desktop.
Drag "boot.iso" to efi > boot.
You should now have the following files contained within efi > boot: boot.efi, boot.iso, bootX64.efi, enterprise.cfg.
Copy the efi folder to the root of the Kali Linux partition on the USB drive.


Part 3: Booting Kali Linux


Restart your machine.
Hold the option key (alt) as soon as you hear the chime.
Follow the onscreen options (for me I press the "1" key twice, and then it boots).
After a few minutes, you should be prompted to enter login details.
Username: root | Password: toor


Part 4: Persistence


Open up GParted (you can find this by clicking the bottom icon in the task bar to the left, then you should see a search function - search GParted).
Once GParted is open, click the dropdown menu to the right and select the bottom option. If you only have one USB inserted, it should be /dev/sdb.
Select the partition with the label "Peristence".
Click partition at the top.
After this (choose unmount if the option is available) choose format to and then choose ext3.
Click edit at the top.
Choose Apply All Operations.
Apply.
Select the newly formatted partition.
Click partition at the top.
Click label.
Label "Persistence".
Choose Apply All Operations.
Apply.


Part 5: Reboot


Restart your machine (as in step 3).
Change your desktop background to a solid colour (grey for example).
Restart you machine again.
If your desktop background is the colour you changed it to, you now have persistent storage.


Hopefully this helps anyone having issues.