I tried following the instructions on this blog but it didn’t work (I got a kernel extension error):

http://blog.philippklaus.de/2011/07/sshfs-on-mac-os-x-10-6-8-with-fuse4x/
So instead I ran these two packages:
http://osxfuse.github.com/
https://github.com/osxfuse/osxfuse/wiki/SSHFS
I ran their .pkg files and now I can run commands like this:
mkdir remoteserver/
sshfs jordan@[My IP or Domain]:/ remoteserver/
And it mounts in Finder like a regular directory. I can right click and eject the folder from within the finder. Neat!