Buildling from source
Building Wine from source is a fair bit of work (and so is writing a step-by-step guide!). I recommend using OSXWineBuilder to build and install Wine, but there are some good package managers out there that will also do it for you.
Because Mac OS X has a Unix core, it's possible to use all kinds of Unix software on your Mac, such as Wine. A package manager is a program that will compile and install that software for you, as well as check for updates and keep everything organised. Here are some package managers for OS X and links to the Wine packages they provide: