I know this is an old post but because it took a little digging to find a solution I thoughts I'd make a post for anyone else with this issue.
I have the DGX 505, with Mac running OS X 10.7.x (Lion) and GarageBand.
There doesn't seem to be an OSX 10.7.x driver on the Yamaha website and if you try to use the OS X Tiger version you get an error about 'Intel' chipset not supported.
To remedy this issue I downloaded the OSX 10.7.x driver for the DGX 520.
After doing the setup and ideally restarting the mac, plug in the USB cable to the DGX 505 and Mac. Power up the DGX 505 - you will need to configure the PC Mode to be PC2.
As a quick test you should see under System Preference --> Other --> Yamaha USB-MIDI - under device name the DGX 505 should be shown.
Thankfully the new driver is backward compatible with the older piano.
Several years after purchasing it without ever using it, I finally dusted off my DGX-505 yesterday to see if I could hook it up to my current Macbook and maybe record a song.
The OS X Lion driver supplied by Yamaha's website didn't seem to be associated with any specific keyboard model. The various drivers just corresponded to Mac OS versions.
After installing one of these Yamaha-generic, Mac-specific drivers and opening the MIDI Window ("MIDI Studio") in Lion's "Audio Midi Setup" utility, the keyboard played the test tones fine when I clicked the little down arrow beneath the DGX-505 icon. (Little warning: unless you like startling surprises, don't have your Mac's output volume set to max when you do this, especially if your keyboard's volume is also set high!)
At first I couldn't get the keyboard to be recognized by the Mac though, until I came across tonyjwinter's post quoted above. The key to the kingdom is setting the Yamaha to PC2. Doing so allows notes played on the Yamaha to be detected and recorded in GarageBand. Task complete!
Next task is learning how to use both GarageBand and the DGX-505, but that should be comparatively easy: getting computers to talk always seems fraught with difficulty.