I don't understand you.
You do know how to install software on OS X in general, don't you?
Just to be sure, I'll explain it to you step by step.
1. Double-click celestia-osx-1.4.1.dmg. A white drive icon named "Celestia" should appear on your desktop and in the source list of Finder windows.
2. Open the contents of the white icon by clicking (finder window) or double clicking (desktop) on it. You'll see something like this:
3. Drag the icon named "Celestia" to your applications folder on your HD (or to any other folder on your HD, for that matter). You can do this by - among other methods - dropping it on the icon named "Applications" in the source list on the left side of the Finder window. This action will copy the application from the mounted .dmg volume to the filesystem on your HD.
4. Do something similar with the folder named "CelestiaResources" only in this cae the target location is not your Applications folder but the folder named "Application Support". If you are going to be the sole user of Celestia on your Mac, it is located at the following path:
Macintosh HD/Users/your_user_name/Library/Application Support
In most literature the first three steps of this path are oftenly referd to as ~ which stands for 'your home directory'
5. After the copying is finished, you can safely unmount the Celestia disk image by pressing the eject icon next to the white disk icon in the Finder window, you won't need it any longer. Alternatively you could of course opt to save the read-me files to other locations on your HD as well.
6. You can now run Celestia by double clicking it's icon in your Applications folder. You can choose to modify the files in CelestiaResources as much as you want to.