You can achieve this using
OpenSSL. (Mac OSX includes OpenSSL within Terminal.app)
You should have the following files (Filenames are just for reference)
- Your generated CSR (cert.csr)
- Your Private Key File (key.pem)
- Your SSL certificate provided by the CA (cert.cer)
- The Intermediate Certificate provided by the CA (CA.cer)
Using OpenSSL run the following command
openssl pkcs12 -export -in cert.cer -inkey key.pem -out certificate.pfx -certfile CA.cer
This should output a certificate.pfx file.