Where is my Sublime Preferences file?

You must open Settings - User instead of Settings - Default. Settings - Default contains default settings and it should not be editable.

So just go to Preferences/Settings - User and add following content to disable word wrap:

{
    "word_wrap": false
}

The file you were looking for is actually very close

~/Library/Application Support/Sublime Text 3/Packages/User/Preferences.sublime-settings

that's indeed the file shown through the menu. I agree its location isn't as intuitive as it could be.

The correct answer is: it depends on:

1. What OS you are using. (MacOS, Win, Cygwin, Linux)

2. How you installed it. (By default installer or as a stand-alone.)

Here's the default (installer) list:

MacOS:   ~/Library/Application Support/Sublime Text 3/Packages/User/Preferences.sublime-settings
Linux:   ~/Library/Application Support/Sublime Text 3/Packages/User/Preferences.sublime-settings
Windows: C:\Users\<username>\AppData\Roaming\Sublime Text 3\Packages\User\Preferences.sublime-settings

For a stand-alone installation, it will be in:
<install path>/Data/Packages/User/Preferences.sublime-settings.

The settings files are consulted in this order:

    Packages/Default/Preferences.sublime-settings
    Packages/Default/Preferences (<platform>).sublime-settings
    Packages/User/Preferences.sublime-settings
    <Project Settings>
    Packages/<syntax>/<syntax>.sublime-settings
    Packages/User/<syntax>.sublime-settings
    <Buffer Specific Settings>

So generally you should place your settings in:
.../Packages/User/Preferences.sublime-settings.

---

PS. Yes, I know OP asked for MacOS, but everyone else will also end up on this page.