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One thing you could try is right clicking on the SL.app, choose "Show package contents" and navigate to Contents/MacOS, drag the SL file to a terminal window and hit enter. It might take a while to load. If the application fails to start, it should print something to the terminal window.

Wow! It worked! I was able to launch and play the game. One problem though- because it's a script, it doesn't seem to be able to keep save files. I keep losing my progress... can the SL script make save files on it's own?

There is a save function in the game itself and it should write its save files to ~/Library/RenPy/.