A month or two ago, it did not work to build Steel Banks Common Lisp on OS X Yosemite. Or at least it never worked for me.
This has been fixed now, at least as of recent git checkout, and quite possibly SBCL 1.3.10.
If you get an error like the following,
ld: library not found for -lgcc_s.10.4
then you can try this (as far as I know) totally undocumented switch
SBCL_MACOSX_VERSION_MIN=10.10 sh make.sh
and the build will succeed.
Happy lisping with SBCL!