To expand on @sikmir's answer: In Bash, which is the default shell on Mac OS X, all you need to do is place a $ character in front of the quoted string containing the escape sequence that you want to get interpreted. Bash will automatically translate it for you.
For example, I removed all MS-DOS carriage returns from all the source files in lib/ and include/ by writing:
grep -lr $'\r' lib include | xargs sed -i -e $'s/\r//'
find . -name '*-e' -delete
BSD grep would have interpreted '\r' correctly on its own, but using $'\r' doesn't hurt.
BSD sed would have misinterpreted 's/\r//' on its own, but by using $'s/\r//', I avoided that trap.
Notice that we can put $ in front of the entire string, and it will take care of all the escape sequences in the whole string.
$ echo $'hello\b\\world'
hell\world