I'm not using a Mac, but on Windows saves are stored in folders beside the game itself (in my case inside the UnRealWorld folder), where each character folder has the name of that character.
Thus, to delete a character you delete the folder with the character's name (and its contents, of course). Also, you may want to regularly backup your current character in case UrW crashes (uncommon, but it does happen), as that can corrupt the save folder (not every time, but it happens). This can be done by simply making a copy of the folder, which doesn't result in a new character showing up as playable (I assume the copy naming scheme results in a name that UrW doesn't accept as a viable character name).