It's pretty easy; pick a port in Azureus' configuration menu (I forget what it defaults to, but I usually type in something random in the high-thousands for security's sake), then fire up System Preferences, go to Sharing, click the Firewall tab and (assuming the firewall is on) click the "New..." button. On the popup, select "Other" for the port type, type in the same port number you used in Azureus (twice; I forget if it uses UDP or TCP, but it won't hurt to do it on both), give it a name in the Description field, and click "ok". Then make sure it's checked in the list under Firewall, and you should be good to go.
This is assuming you're connected directly to the internet; if you have your own router, you need to forward that port to your computer specifically. How to do that is going to differ depending on what kind of router you have.