I installed MySQL on my Mac OS 10.6 about a week ago, and, after some playing around, got it to work just fine. It integrated with python MySQLdb and I also got Sequel Pro
I was also getting this error on a fresh install of XAMPP.
For those not comfortable with the command line, there is another way.
Based on the advice above (thank you), I used my old standard "Easy Find" to locate the latest version of my.cnf. Upon opening the file in an editor I discovered that the socket file was pointing to:
socket = /Applications/XAMPP/xamppfiles/var/mysql/mysql.sock
I updated Navicat's Advanced properties/ Use socket file to the path above and bingo.
Hope this helps someone.