If you use Homebrew, this should do the trick:
brew install gmp
env "CFLAGS=-I/usr/local/include -L/usr/local/lib" pip install pycrypto
Using env will only make it work for that invocation. If you need to install pycrypto at a later time in this session export the variable instead.
export "CFLAGS=-I/usr/local/include -L/usr/local/lib"
pip install pycrypto