You can only compile Firemonkey projects for OSX.
If you start out with a VCL project, it will be linked to Windows only, because VCL is tied to the Windows API, whereas Firemonkey is cross-platform.
Start a new project:
File -> New -> FireMonkey HD Application

Right click on target platform (choose Add Platform...)

And choose OS X.
Do I need permission from Apple to do this? Some sort of license or something? If so how do I acquire it?
Following the instructions here: http://docwiki.embarcadero.com/RADStudio/XE2/en/Mac_OS_X_Application_Development