We do not have a specific tutorial on that, but the setup should not differ much from usual VisualGDB Linux projects. Hence please look at the Linux tutorials (e.g. http://visualgdb.com/tutorials/linux/) for help.
+1 for a Mac tutorial. There are several issues that happens on Mac and not on Linux (like: no gdb, ld params that don’t work and so break the Makefile). I am really in need to compile a Visual Studio QT C++ project to use on my Mac and I would gladly buy this product, but these errors (and not clear solution on how to fix them) make it impossible.