FreeCAD uses its own python, and so it will not be able to find any libraries you install elsewhere. However, you should be able to copy pycollada-0.4.1-py2.7.egg from C:\Python27\Lib\site-packages to C:\Program Files\FreeCAD 0.15\bin\Lib\site-packages.
The python bundled with FreeCAD actually has setuptools, but the release candidate installers are missing python.exe. The 0.15 release installers will include it so that you won't need another python install to install python libraries for FreeCAD.
Installing pycollada on OS X should be pretty easy. First, install pip
To install pip, securely download get-pip.py.
Then run the following (which may require administrator access):
and in Terminal enter:
pip install --target="/Applications/FreeCAD.app/Contents/lib/python2.7/site-packages" pycollada
I have not tried this myself! There might be a conflict with numpy.