In case anyone ever does an internet search on this same subject, I'll post the response from Casio's customer service here:
"Thank you for contacting Casio America. You can connect your WK-500 to a
Macintosh computer using MIDI. Information on connecting can be found on
pages E-65 to E-66 of the manual. If you do not have the manual handy,
then you can download it in PDF (Adobe Acrobat) format by going to the
following link:
http://support.casio.com/pdf/008/WK200_500_e.pdf
Unfortunately, there is not a version of Data Manager available for
Macintosh, so you would not be able to transfer MIDI files from the
computer and store them as user songs. While the keyboard is connected
to your computer, the computer can treat it as a MIDI instrument. This
means that if you have MIDI-compliant music software on the computer,
you can use it in conjunction with the keyboard.
As an alternative, you could use an SD card reader on your computer to
store SMF (Standard MIDI File) songs on an SD card. You could then take
the card to the keyboard, and use the songs on the card as user songs.
Both the SD card and the card reader would be sold separately.
We hope that we were able to assist you with your question, and again
thank you for contacting Casio America. As a reminder we can also be
reached at 1-800-435-7732 option 6.
Sal M"