I generally prefer to use the terminal version of vim, rather than macvim. The major downside is no direct OSX clipboard integration. I tried running brew install vim but even that doesn't seem to compile with +clipboard support. I really wish "+yy and +"p would just work!
Turns out that there's a great little plugin for that, fakeclip!
There are different ways to install vim plugins into ~/.vim/, but these days all the cool kids are using vundle. Here's how to install vundle, then use it to install fakeclip.