Pelo que entendi, houve algumas alterações relacionadas ao SIP que dificultam a instalação.

Essas páginas têm o histórico e os conselhos para instalar.http://sourceforge.net/p/cx-oracle/mailman/message/34534872/, http://stefanoapostolico.com/2015/10/08/install_cx_oracle_with_sip_enabled.html

Juntando tudo isso, aqui estava minha melhor chance de instalá-lo no meu virtualenv, mas infelizmente ainda não é bom.

O erro que estou recebendo é:

Traceback (most recent call last):
  File "<string>", line 1, in <module>
ImportError: dlopen(/Users/me/sx_direct_env/lib/python2.7/site-packages/cx_Oracle.so, 2): Library not loaded: /b/227/rdbms/lib/libclntsh.dylib.10.1
  Referenced from: /Users/me/sx_direct_env/lib/python2.7/site-packages/cx_Oracle.so
  Reason: image not found

Aqui estão todas as minhas etapas de instalação:

$ cd /Users/me/sx_direct_env/lib/python2.7
$ mkdir oracle
$ cd oracle
$ export ORACLE_HOME=$PWD
$ export DYLD_LIBRARY_PATH=$ORACLE_HOME
$ export LD_LIBRARY_PATH=$ORACLE_HOME
$ export PATH=$PATH:$ORACLE_HOME
$ unzip ~/Downloads/instantclient-basic-macos.x64-11.2.0.4.0.zip
$ unzip ~/Downloads/instantclient-sdk-macos.x64-11.2.0.4.0.zip
$ mv instantclient_11_2/* .
$ rmdir instantclient_11_2
$ curl -O https://raw.githubusercontent.com/kubo/fix_oralib_osx/master/fix_oralib.rb
$ ruby -a fix_oralib.rb 
adrci:
   add rpath: @loader_path
   change install name
     from: /ade/b/3071542110/oracle/rdbms/lib/libclntsh.dylib.11.1
       to: @rpath/libclntsh.dylib.11.1
   change install name
     from: /ade/dosulliv_ldapmac/oracle/ldap/lib/libnnz11.dylib
       to: @rpath/libnnz11.dylib

genezi:
   add rpath: @loader_path
   change install name
     from: /ade/b/3071542110/oracle/rdbms/lib/libclntsh.dylib.11.1
       to: @rpath/libclntsh.dylib.11.1

libclntsh.dylib.11.1:
   add rpath: @loader_path
   change identification name
     from: /ade/b/3071542110/oracle/rdbms/lib/libclntsh.dylib.11.1
       to: @rpath/libclntsh.dylib.11.1
   change install name
     from: /ade/dosulliv_ldapmac/oracle/ldap/lib/libnnz11.dylib
       to: @rpath/libnnz11.dylib

libnnz11.dylib:
   change identification name
     from: /ade/dosulliv_ldapmac/oracle/ldap/lib/libnnz11.dylib
       to: @rpath/libnnz11.dylib

libocci.dylib.11.1:
   change identification name
     from: /ade/b/3071542110/oracle/rdbms/lib/libocci.dylib.11.1
       to: @rpath/libocci.dylib.11.1

libociei.dylib:
   add rpath: @loader_path
   change install name
     from: /ade/b/3071542110/oracle/rdbms/lib/libclntsh.dylib.11.1
       to: @rpath/libclntsh.dylib.11.1

libocijdbc11.dylib:
   add rpath: @loader_path
   change install name
     from: /ade/b/2475221476/oracle/rdbms/lib/libclntsh.dylib.11.1
       to: @rpath/libclntsh.dylib.11.1
   change install name
     from: /ade/b/2475221476/oracle/ldap/lib/libnnz11.dylib
       to: @rpath/libnnz11.dylib

uidrvci:
   add rpath: @loader_path
   change install name
     from: /ade/b/3071542110/oracle/rdbms/lib/libclntsh.dylib.11.1
       to: @rpath/libclntsh.dylib.11.1
   change install name
     from: /ade/dosulliv_ldapmac/oracle/ldap/lib/libnnz11.dylib
       to: @rpath/libnnz11.dylib

$ pip install cx_oracle
Collecting cx-oracle
Installing collected packages: cx-oracle
Successfully installed cx-oracle-5.2

$ python -c "import cx_Oracle"
Traceback (most recent call last):
  File "<string>", line 1, in <module>
ImportError: dlopen(/Users/me/sx_direct_env/lib/python2.7/site-packages/cx_Oracle.so, 2): Library not loaded: /b/227/rdbms/lib/libclntsh.dylib.10.1
  Referenced from: /Users/me/sx_direct_env/lib/python2.7/site-packages/cx_Oracle.so
  Reason: image not found