i'm sure you have this fixed by now, but i'll put in a comment for those who may also be having this problem.
firstly i'm running osx mountain lion and as soon as i got my ddj-s1 i updated the firmware
the major problem i had was the headphone cue not working.
this has nothing to do with the unit but ur VDJ sound settings
open VDJ preferences, sound setup, output, advanced config
in the 1st box it should read "master" box 2 "Pioneer DDJ -S1" box 3 Output 1&2
now click the + sign and add "Headphones" to box 1, box 2 "Pioneer DDJ -S1" box 3 Output 3&4
click apply and thats it
SIMPLES
other problems u might have b4 this is finding the midi settings.
in spotlight search "MIDI" and open audio midi setup
along the top bar click window then show midi window (took me ages to see it!!)
PIONEER DDJ-S1 should be listed (be sure to scroll sideways - THIS TOOK ME AGES TOO)
click on it and change the device name to DDJ-S1 MIDI
i hope this helps any1 with some of the problems i had
Mark