I have an application that is broken into several libraries for purposes of code reuse. On Windows all I have to do is put the .dll files in the same path as the executable and
You need $ORIGIN in your RPATH, via an appropriate option to ld or other Darwin tool. See this and this.
Remember that the $ has to really end up in the path, so you need to quote or escape it in the link command line.
Update: You can see what the linker actually put into your executable with
readelf -d /path/to/exe | grep RPATH
Here is what the output should look like:
0x0000000f (RPATH) Library rpath: [$ORIGIN]