1. Download the .dmg
2. Double click it in Finder.
3. Move the .app to your Applications folder
4. Open the application
5. You'll get the error. Press cancel. DO NOT move it to trash.
6. Open System Preferences.
7. Go to Security & Privacy
8. Go to the General tab.
9. You should see something like Allow or Open next the OpenSCAD.
10. Then you'll get a popup window. Press Open.