README.md in xgb-0.2.1 vs README.md in xgb-0.3.0

@@ -10,9 +10,15 @@
 
 ```ruby
 gem 'xgb'
 ```
 
+On Mac, also install OpenMP:
+
+```sh
+brew install libomp
+```
+
 ## Learning API
 
 Prep your data
 
 ```ruby