instead of downloading the tarball in the link. You may feel tempted to download a tarball and compile readline. But I experienced the problem mentioned in rlwrap-0.37/BUGS:
49-On recent OS X sytems, libreadline is not the real thing, but a
50-non-GNU replacement. If the linker complains about missing
51:symbols, install GNU readline and try again.
This may then lead you to attempt compiling and installing GNU readline, which will ultimately lead you to try to solve more problems you're having in compiling readline. You might find this fun. But if you just want to get things over with, there is an easier way. Homebrew[1] to the rescue:
brew install rlwrap
Perhaps this is just obvious to others. Would've saved me a few minutes to hear this, though.
[1]: http://mxcl.github.com/homebrew/