Having come from the same background recently, I have been using
HellaNZB to download my newsgroup files (mainly TV shows that I can't get in NZ, pirated-software-naysayers...).
There's a great tutorial
here that details how to install it. Personally, I'd ignore the SABnzbd recommendation at the top of the page, as I found it to be much slower than HellaNZB during use. Also, the install may seem over-complex compared to a single app, but I have tried nearly all of the main ones (iGrabIt, NZBDrop) and this is by far the best.
One excellent tool to also install is
HellaWorld, a web interface to HellaNZB. Download
MAMP, make this the default site and you have a nice, web-based UI for managing your downloads. It even has drag-and-drop reordering, which is very handy!
I have a number of other newsgroup related links available
here, in case you're interested!
Cheers,
cell