I want one of those nice dialog boxes where you can save a file in a bunch of different audio formats with the drop down combo at the bottom.  Is there something built in or do I need to roll my own version of FileChooser?

Might need to roll your own for that - it'd involve adding some sort of custom control to native file choosers, which would be a bit of a pain to implement in a generic way.

It looks like it's about 50% built in to the native stuff on the Mac side already -  but it's just file extension based. If I wanted, say, different sample rates or encodings it's not there. 

I might just do a JUCE native one for now - it'll be quick - and go native when I'm happier...