I have installed Android Studio and JDK1.8 on Mac OS. I followed the instructions and created a new application with API 15 as minimum sdk.
I tried to create an AVD fro
First you need to download the SDKs you are interested in from Android Studio Tools menu -> Tools -> Android -> SDK Manager or from the menu bar.
Don't forget to install the intel x86 emulator accelerator haxm from the SDK Manager - this will speed up significantly your android virtual device.
Then proceed as you mentioned in your question.
You can find more information here.
EDIT : From the comments your OS X version is 10.7.5 and Android Studio runs on 10.8.5 so you either :