Apple - Where does MacVim keep its themes?

By default, you should put custom colorschemes/themes into: ~/.vim/colors

Note that you may need to create the .vim directory in your home directory if it does not already exist.

After doing so, your :colorscheme command should automatically pick up the theme.

This is what I have in my ~/.vimrc

if has("gui_running")
  syntax on
  set hlsearch
  colorscheme macvim
  set bs=2
  set ai
  set ruler
endif

Where does macvim keep it's themes?

The themes that MacVim ships with can be found in

/Applications/MacVim.app/Contents/Resources/vim/runtime/colors

but MacVim will also load any custom themes you have on disk. I use the rather awesome Janus plugin distribution with MacVim and Janus keeps all of its themes in ~/.vim/janus/vim/colors. MacVim will load this in as well as the defaults.

But the theme remains unchanged. What am I doing wrong?

MacVim loads both ~/.vimrc and ~/.gvimrc, in that order. Make sure that settings in ~/.gvimrc aren't clobbering settings you're making in your ~/.vimrc file.