OSX doesn't exactly come with keyboard macros, but it's not difficult to create them. First, write an AppleScript that simply writes keystrokes to "System Events":
Then, add the key mapping you want to "System Preferences, Keyboard, Keyboard Shortcuts, Application Shortcuts". Click the '+' to add one, use the name of the script you created, and choose a shortcut. If you want to change the shortcut later, double click right over the characters for the shortcut.
I used this to create a shortcut when editing an html pre element, so it looks similar to http://formatmysourcecode.blogspot.com/