i have code completion working on osx.
under "interperter - python", i clicked New.
then i pressed APPLE-SHIFT-G, to open up a window that allows you to type in a directory (this shortcut can be used in any finder or file dialog in osx). for some reason i could not paste a path as normal, so i had to manually type in the full path to the bin dir
/Applications/Autodesk/maya8.5/Maya.app/Contents/bin
then i selected mayapy and hit Open.
after doing all this it gives you an option of which dirs and files to add and i just used the defaults.
at one point i noticed that autocompletion wasn't working so i just opened up the preferences again, went to Python Interpreters and hit the Apply button and it reparsed all the directories. after that it worked again.
hope this helps.
-chad