Let me clear something up: Basically you can connect to MySQL servers via two methods:
a) via a unix socket
b) via TCP/IP
For security reasons, some people allow TCP connections to MySQL only from localhost. In that case, you can use Sequel Pro's SSH tunnel functionality.
Some people are even more paranoid and enable the "skip-networking" parameter in MySQL. This disables connections via TCP/IP, and you can connect only via unix sockets. The SSH Tunnel functionality in Sequel Pro does not work in this case.
If you say that "port 3306 is open only locally" I assume that skip-networking is not enabled, and you can use the SSH tunnel functionality in Sequel Pro. Just type 127.0.0.1 for the MySQL server.