Elah: I've seen plenty of threads for running it windowed in Windows, but to my knowledge Mac doesn't have a widely available solution like DxWnd. Thoughts?
I don't have a Mac here at the moment, so I can't give you a step by step.
Anyway, as far as I know, GOG's Mac version of Alpha Centauri is the Windows version running in Wine. Wine's feature called "Emulate a virtual desktop" should do the trick to let you play in windowed mode.
Search for the app in Finder, then control-click (or right-click) it and select Show Package Contents. Do this and you should be able to see the advanced options, where you'll find an option to enable Emulate a virtual desktop.