How to configure py2app to include the source code in the executable,
so the final users will not have access to my program?
Unless you very seriously hack the python interpreter (and include the mangled version) there is no really good way to hide the source from a moderately skilled and determined user. I strongly believe this is true on Windows also. Basically, whether you include true source or bytecode, a pretty clean version of the source can be recovered. More importantly, in my opinion, unless you include the actual source code (as opposed to bytecode, you will introduce a possible dependency on the interpreter version).
How to convert UNIX executable to Mac ".app" ?
What do you mean by a UNIX executable? A Darwin (OS X) binary [which isn't actually UNIX]? That can be done using the kinds of tools you already mentioned, but it must be done carefully to avoid library dependencies.
If all you want it a simple wrapper to put a command-line binary into a window, it's pretty easy to accomplish and the free XCode suite has several examples that would serve (depending on what output
you wan to deliver, if any).
Is there a way to compile Python code with GCC ?
GCC does not compile Python. It's a different language (although there tools in the gcc family rthat support multiple language front-ends, but not Python). There are tools that attempt to translate Python into C, and then you can compile that into a true binary, but this only works for programs that avoid certain types of construct, and the process (and restrictions) need to apply your libraries as well.
One project to allow this is Cython. It works well for some types
of code, mostly numerical code, but it is not trivial to install and
exploit, very especially if you want to produce something that runs on multiple
different computers.
In Windows it's easy, I created an "exe" file from Python code and it
works. Is it possible to create a single file "app" for Mac ?
I would have to say I am skeptical -- very skeptical -- about this. Just like the OS X case, the exe almost certainly has the source code trivially accessible within it.
One fairly easy trick is to encrypt the source code and then decrypt it on the fly, but this
seems to me like more trouble than it's worth.