[Brian]

Happy to help, Mark! There are a couple things that could be going on here.

First off, if you're running OS 10.7, the "Library" folder that page refers to has been hidden from view. If you hold down the Option key while selecting the "Go" menu in the Finder, you'll see a menu item for it, though.

If you're running OS 10.6 or an earlier build, you can create the "OmniGraffle" or "OmniGraffle Pro" folder and then drop the script into it. Ditto for the folders farther up the chain. Does that help?