So it turns out that if you wanted to set up XHProf locally, that you would need to do a lot of steps to get it set up; at least on your Mac and I think on Windows as well.
 
Since my server is running Unix, spending a lot of time to do this didn't make a lot of sense. Just grabbing xTools can take a while cause the download is over 3GBs!
 
Another collaborator of mine suggested QuickStart. QuickStart not only gives us a very easy method of getting XHProf set up on our Mac [or Windows, or...]; but it also comes with a ton of pre-installed tools, and extentions to Drush.
 
Here are the features listed as of version 0.9
 

• Support for Drupal 7 and Drupal 6
• Ubuntu Linux, Apache, MySQL, APC, XDebug, IMAP, UploadProgress
• Firefox (with developer plugins) and Chrome
• Drush, drush make, and custom drush commands
• Install scripts for: Apache Solr, Aegir, Hudson, and Oracle
• Netbeans and Eclipse, configured with XDebug
• XHProf and Webgrind profilers. Emails logged as files
• cvs, subversion, git, bazaar

 
Furthermore, because it is on a virtual environment, you can save states and share them with others. Making and destroying Drupal sites has never been this easy!
 
If you want video tutorials on XHProf then this is the best I have seen at giving you the basics:
 
http://www.youtube.com/watch?v=Xjgwhn_SnZc
 
If you want a page with tips on how to profile a website, this page is very helpful:
 
http://techportal.ibuildings.com/2009/12/01/profiling-with-xhprof/
 
Enjoy! And happy code-hunting!