How can I test for OpenCL compatibility?

vocaro's answer is absolutely correct; you can always use the CPU compute device on Snow Leopard and Lion, even if your particular graphics chip doesn't support OpenCL.

The following program will show you the OpenCL-capable devices on a given Macintosh:

// clang -framework OpenCL dumpcl.c -o dumpcl && ./dumpcl

#include <stdio.h>
#include <stdlib.h>
#include <OpenCL/opencl.h>

int main(int argc, char* const argv[]) {
    cl_uint num_devices, i;
    clGetDeviceIDs(NULL, CL_DEVICE_TYPE_ALL, 0, NULL, &num_devices);

    cl_device_id* devices = calloc(sizeof(cl_device_id), num_devices);
    clGetDeviceIDs(NULL, CL_DEVICE_TYPE_ALL, num_devices, devices, NULL);

    char buf[128];
    for (i = 0; i < num_devices; i++) {
        clGetDeviceInfo(devices[i], CL_DEVICE_NAME, 128, buf, NULL);
        fprintf(stdout, "Device %s supports ", buf);

        clGetDeviceInfo(devices[i], CL_DEVICE_VERSION, 128, buf, NULL);
        fprintf(stdout, "%s\n", buf);
    }

    free(devices);
}

On my Macbook, this gives:

Device Intel(R) Core(TM) i7-2635QM CPU @ 2.00GHz supports OpenCL 1.1 
Device ATI Radeon HD 6490M supports OpenCL 1.1 

You can ask for other device information using this program as a starting point. The Khronos API reference for clGetDeviceInfo should be useful.

You can use the built-in OpenCL platform that Apple ships with OS X Snow Leopard and Lion. Follow this guide:

http://developer.apple.com/library/mac/#documentation/Performance/Conceptual/OpenCL_MacProgGuide/

Note that it will not work on the Intel HD 3000 GPU, only the CPU.