I am playing The Walking Dead and running into the save game bugs plaguing everyone. Namely, it doesn't always seem to auto-save, and you're forced to replay sections or skip ahead to the next chapter and have the game make random choices for you. This, of course, sucks. But with some investigation and the Windows save game fix posted elsewhere on this board, I found the same solution works for OSX users. It helped me finish the game with no problems, and I loved it. I'm glad I didn't give up on it.
What's happening: The game sometimes erroneously makes two prefs.prop files - and there's a good chance it keeps syncing the wrong ones. So while your game IS saving, the prefs.prop file is not updated with your latest save game, so it doesn't show up in your list of save games. The solution is to replace one of them with a shortcut to the other one. This way, no matter which one the game chooses to reference, it will be the latest.
0) Back up both folders discussed below before proceeding, because I'm not doing QA and can't guarantee this will work for you.
1) Open Terminal
2) Navigate to your Steam Walking Dead folder
cd /Users/[[your username]]/Library/Application Support/Steam/SteamApps/common/The Walking Dead/TheWalkingDead.app/Contents/Resources/Pack/default
3) Create the symlink.
ln -s /Users/[[your username]]/Library/Application Support/Telltale Games/TheWalkingDead/prefs.prop prefs.prop
That's it. Now, I have no idea whether or not it always syncs the wrong one in that order, so back up your saves and prefs.prop files before doing this. But it worked for me and hopefully will work for you too.