You have to "unlock" the machine by typing '$X' in the command
line.
It is also a button in machine control tab.
But when I started UGS there where no Port available to select.
After researching a bit, the solution was easy.
You just enter the path to your serial driver in the box.
In my case:
/dev/cu.wchusbserial1420
In my case:
/dev/cu.wchusbserial1420
So now I can finally run my steppers from UGS.
Where did I find the serial driver you might ask?
I had issues communicating with my Arduinos, but this post lead
my to the solution:
http://kig.re/2014/12/31/how-to-use-arduino-nano-mini-pro-with-CH340G-on-mac-osx-yosemite.html
And for OS Sierra:
https://github.com/adrianmihalko/ch340g-ch34g-ch34x-mac-os-x-driver
(Added: Nov 22, 2015)
Many instructions down below were written for the old driver, which was not signed, and therefore was not working out of the box on OS-X Yosemite and El Capitan. The latest driver appears to be signed, and should work out the box. The new driver is here: CH34x_Install.zip (111Kb).