SOLVED! Whit the right unarchiver (arkivverktyg.app) it was a walk in the park.
I unpacked the file sqldeveloper-3.2.20.09.87-macosx.gz and got a slightly bigger file sqldeveloper-3.2.20.09.87-macosx with no dmg file extension, and of course if I double click it as the instruction tells me it can´t find any asociated program to start it with.
I could not find anything in this forum how I should continue. Probably it is very simple if you are a Oracle type of person..
My set up: Mac OS X Lion 10.7.5
java version "1.6.0_37"
Java(TM) SE Runtime Environment (build 1.6.0_37-b06-434-11M3909)
Java HotSpot(TM) 64-Bit Server VM (build 20.12-b01-434, mixed mode)
I will try with the latest Java 2013 update 002 if it helps.
The instructions for installing SQL Developer are provided on the download page. I have a more detailed set of steps on my blog here for OS X.