When I compile private versions of GMP, MPFR, and MPC on Linux, I use:
# Create the desired destination directory for GMP, MPFR, and MPC.
$ mkdir /home/case/local
# Download and un-tar the GMP source code. Change to GMP source directory and compile GMP.
$ cd ~/src/gmp-5.1.0
$ ./configure --prefix=/home/case/local
$ make
$ make check
$ make install
# Download and un-tar the MPFR source code. Change to MPFR source directory and compile MPFR.
$ cd ~/src/mpfr-3.1.1
$ ./configure --prefix=/home/case/local --with-gmp=/home/case/local
$ make
$ make check
$ make install
# Download and un-tar the MPC source code. Change to MPC source directory and compile MPC.
$ cd ~/src/mpc-1.0.1
$ ./configure --prefix=/home/case/local --with-gmp=/home/case/local --with-mpfr=/home/case/local
$ make
$ make check
$ make install
I think those instructions will work on OSX, too.
Update
I successfully build bigfloat using the command:
py27 setup.py build_ext -I/home/case/local/include -L/home/case/local/lib -R/home/case/local/lib install