Install Coq 8.5. To make your life easier, choose an IDE, such as CoqIDE, Proof General, and PeaCoq.
If you find your CoqIDE crashes often on OS X, it is rumored that running CoqIDE with a debugger (e.g., gdb and lldb) helps. For example, you may create an alias for your shell:
alias coqide="lldb -o run -o q -- /Applications/CoqIDE_8.5.app/Contents/MacOS/coqide"