First I found rubyscript2exe which has the wonderful benefit of
copying absolutely every dependency into a single binary file.  Then I
found Platypus.  While Platypus seems the superior of the two from the
Ruby standpoint, I'm at a little bit of a loss regarding how to put
gems in my App Bundle.  I imagine that I need Rubygems in the app
bundle somewhere along with my gems.

All that I've been able to find on the matter is here:
http://work.alexyoung.org/archives/157/camping-platypus-fun