Pressing Cmd-D already works. Did you really try this?
Did you also know about Ctrl-F7? If you hit that combination once you
can then navigate _all_ OS X dialogs using Tab and hitting Space to
select an item (the "selected" item has a faint blue outline).
Finally, all dialogs in MacVim can be dismissed by pressing the first
letter of the button title (if multiple buttons share a first letter,
then you may have to press the second letter). Actually, Mac OS X
overrides the shortcut for some buttons so it is not true for all
buttons (e.g. "Don't Save" is Cmd-D instead of "d", "Cancel" is Esc,
etc.). Figuring out which letter to press requires trial-and-error so
this may not be the most useful method, but it is there.
Björn