I realize I am posting two years later, about a game that came out ten years ago... But since I literally came here today with this exact same problem and spent an hour trying to blunder my way through it, there might be a chance this helps someone else.
I had same issues as earlier posters. Roughly 4 gigs of saved games on my MacBook Air and no way to find them to get rid of them. Running 10.8.5 and the previous advice about searching for file names or looking in my documents folder was of no help. At some point, Apple moved all that stuff, and none of it is searchable any more, even if you know the file name.
I got lucky because when I went to save a game this morning, it was using a name I had already used, and the error message popped up with the exact file path for the file I was asking to rewrite.
Civ IV saves on a Mac running 10.8.5 are found in:
\Users\yourname\Library\ApplicationSupport\CivilizationIV\Saves (and then \Single in my case and probably yours if you are here with gigs and gigs of saved games yourself)
Even if you know the file name, it will never be found by searching. Search won't look in application support libraries. So you have to go there directly.
As stated by an earlier poster, you won't find Library on your own either. Library is hidden by default, as part of Apple's method of keeping users from accidentally damaging important files. So to get there, you will have to run Terminal (under Applications\Utilities) and then paste this command:
defaults write com.apple.finder AppleShowAllFiles YES
After doing so, you have to relaunch Finder by Control-Option-clicking the Finder icon on your dock and clicking the bottom option for relaunch. Now when you open a Finder window again, you can follow the path I listed above to get to the Library and Application Support and ultimately to your saved games.
If you want to no longer see all your invisible files, you can go back into Terminal and paste this command
defaults write com.apple.finder AppleShowAllFiles NO
Then relaunch your Finder using the control-option-click on the icon, and you are back to blissful ignorance of all the secret files you don't need to know about.
I hope this helps someone else.