How-to Install Photoshop Mac ICO Plugin
There are Multiples ways to Transform an image on ICO for favicon Creation on Mac OS X...But if you want a way for Saving from Photoshop you Currently need Install Photoshop Mac ICO Plugin.
 
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Download Photoshop CS5/CS6 Plugin: 
-  To Install it Drag in:
Applications > Adobe Photoshop CS5 > Plug-ins > File Formats Then Restart Photoshop to have it Enabled
-  Saving a file as .ico:
Save as > Format > ico 
