Mac OS X (10.3.9) uses the tcsh shell by default and doesn't run the setup scripts. I was able to run setup by switching to the bash shell and sourcing the script. This is slightly different than what is described in the setup instructions listed in the Developer's Guide (Develop-en.pdf).
The instructions in the Developer's Guide should now work correctly.
For a more detailed description of how you can control the terminal's shell environment, check out this article on Using the shell in OS X.