Run winsetup.exe or edit acsetup.cfg (change windowed=0 to windowed=1)

Right-click the game app and select "Show package contents" then double-click the Wineskin app.
Click "Set Screen Options" and select "Override" and "Virtual Desktop".

Thanks for the clues but I didn't find Wineskin inside package. What I actually found was a executable file Blackwell-Legacy inside MacOS folder. When I run it using console I can set some command line options like -windowed or -gfxfilter Hq3x but it's a bit annoying to go to console every time I want to run the game.

Is there a way to make those options 'stick'?

Find acsetup.cfg in the package, open it and change windowed=0 to windowed=1. If there is no such a file, create a new text file, open it and insert this:

[misc]
windowed=1

Then save it as "acsetup.cfg".

Also, you sure there is no winsetup.exe in the package?

The Wineskin.app is inside
Blackwell Unbound.app
Blackwell Legacy.app
Blackwell Deception.app
Blackwell Convergence.app

The command line options you mentioned are those of Adventure Game Studio (AGS), the engine the Blackwell games are based upon. AGS comes with a setup file named "acsetup.cfg" which stores it's configuration.
Within the packages of the Blackwell games (right-click or CMD-click the app => Show Package Contents) you'll find it under
drive_c/Program Files/GOG.com/<The game's name>/
You can edit the file with any text editor.
Toggle windowed=0 to windowed=1 to tell AGS to run in windowed mode.

Alternatively you can run AGS as it is (in fullscreen) and run the Winskin.app inside the package and configure Wineskin to create a Virtual Desktop, which is basically a Mac window and inside is the Virtual Windows Desktop in which AGS is running (in fullscreen).
Both options should let you play the game in a window on your Mac.

For any future googlers, here is a list of all the things in the config file, their settings, and what they mean. Note that the configuration utility (only on windows afaik) is basically just editing this text file for you.

https://github.com/adventuregamestudio/ags/blob/7abbd673e910289511bcca3101abd03101599eb0/OPTIONS.md

In my install the file can be found at: Blackwell Deception.app/Contents/Resources/acsetup.cfg