Assuming that you have already Homebrew and Homebrew Cask installed, install XQuartz cask and then wine with Homebrew:
brew cask install xquartz
brew install wine
You may also want to head to this excellent summary.
Then download the zip version of CLRMame Pro, then unzip the directory containing the program files to a place of your choice. That's basically it.
Open the Terminal, cd to the CLRMame Pro directory and start the program with
This is where I am right now, and now it's time to learn the program with these instructions here. Still being a newbie in correct rom management, I might revert back later until I got comfortable with the process. Enjoy!