After some browsing around I found out there are 2 great ways to connect to the Pi just using the finder in OSX.
The first one is by connecting to the Pi via the network. This is how you do it.
First connect to the Pi via ssh.
All you have to do is install this package :
sudo apt-get install netatalk
Once it’s finished, just go to the finder in OSX.
Under the network you should be seeing the raspberry Pi (excuse the dutch screenshot). There will be a button below the computer icon saying “connect as”. Just click it and provide the default credentials of the Pi : pi / raspberry.
You can see your home directory and are able to drag files in and out.
The second is using the screen sharing functionality in OSX to connect to the Pi instead of VNC.
Just go to the finder and go to the “Go” menu, and “Connect to server”, or press command-k on the keyboard. A screenshot like the one below appears (excuse the dutch).
vnc://<the ip address of your pi>:5901
and press connect.
And there you have it :