I use swig 2.0.1 + mono 2.6/2.8 on Mac OS X 10.6.4.
The overall build is OK, and the build of the C# examples is also OK. The problem is that when I run the example
You should also ensure the file is in the dynamic linker search path, i.e. on MacOS:
export DYLD_FALLBACK_LIBRARY_PATH="/directory/with/your/dylb/file:$DYLD_FALLBACK_LIBRARY_PATH"
BTW, MacOS one would generally expect a .dylib file, not a .so file.