Put this into your ~/.zshrc:
autoload -Uz compinit
compinit
There is also a project with zsh functions/configurations for Mac OS X on http://code.google.com/p/zsh-templates-osx/ . Personally I think it's an overkill to use the whole package. But found it useful to cherry pick some tricks, functions, completions etc. and create my own .zshrc
