Shift+A or Shift+F doesn't work for that.
If your 0.22 it's running then you must have the save folder too or else the game wouldn't work properly.
The correct library is the one you have in the library system on your internal HD/System/UserName/Library and you should find it with the Command+Shift+G and enter the:~/Library/RenPy .
In case try the old school way: the finder's icon on your dock, right click on it paste ~/Library and you will find the correct one there is located your Renpy save folder ( or should be).
For me it work so it should for you too.