OK after playing around I figured out what needs to be done to get PyO to work with Anaconda.
Follow these instructions.
1. Use the compiling from source instructions for macOS using Homebrew here:
1A. So you need to install Homebrew so you can run the first line.
brew install liblo libsndfile portaudio portmidi --universal
1B. Fix any warnings you get from HomeBrew. Specifically, I had to force relink the files. Homebrew should tell you what to do if you have to do that.
2. Clone the Git Depot and go to the PyO directory.
3. IMPORTANT STEP: Activate the correct Anaconda environment, from the command line with 'conda'. You can find instructions on how to do that here:
If you are not using environments in Anaconda then don't worry. But you have to do this for every environment in Anaconda you want to use PyO in.
4. Build PyO
python setup.py install --use-coreaudio --use-double
If all went well, you should be able to use PyO in Anaconda.
Good luck.
Stan