I'm not on a Mac at the moment so I can't tell you the exact wording of the preference, but I just set it up through the hotkeys section of the keyboard system preferences pane.
One of the options allows switching window focus, and another allows switching through windows in the active application. There's no option for switching backwards, however. The way I deal with that is to separate any xmonad specific functionality behind a prefix-key submap in my XMonad config.
Any hotkeys that don't take the prefix I can use on any OS, the ones that do are xmoand specific. To me this keeps things nice and organized, while still letting me exploit the xmonad-contrib stuff to the full extent.
For example, instead of mod-j/mod-k, I use the window navigation extension behind the prefix so I get finer control over focus navigation, and this makes xmonad function precisely like tmux just with a different prefix key.
