Just had an issue with this, which I thought I'd share.
Because my logged in user didn't have permission to copy to the /usr/local/lib folder NGUI would ask me to locate the source dylib, (which was already in the correct place).
To get around this I copied the file in command line:
sudo cp MY_UNITY_PATH/Assets/NGUI/Editor/FreeType.dylib /usr/local/lib/FreeType.dylib
I can see this tripping up a lot of people, so it would be nice to find a more user friendly solution, either with an instructional error message or a built in way to force the copy with permission. :-)