Yes, you choose one or the other in OS X. It's possible that with Snow Leopard it will be able to switch between the two on the fly, possibly even automatically, but we don't know for sure yet.
As for Windows, using either the provided Boot Camp driver or the one of Nvidia.com, it will just lock to the 9600M GT, you cannot use the 9400 for anything. BUT! It is possible to switch between the two on the fly in Windows as well, but it takes some messing around with drivers.
You cannot use the two at the same time. That is called "GeForce Boost". It is essentially vanilla SLI, but between the integrated and discrete GPUs, rather than two discrete ones as it normally is. As with all SLI setups, using two different GPUs in a pair will cause the more powerful one to downclock and shut down cores until it is equivalent to the lower power one. Considering that the 9600M is already basically two 9400s stacked together, there wouldn't be any benefit to this. You'd essentially be tearing out half your GPU power to replace it with the same thing, except the replacement half has no dedicated memory. So, the 9600M doesn't support this.