In Safari, go to the Safari menu and click on Preferences.
Click the "Advanced" tab, and by the Proxies label click the "Change Settings" button. This will open the Network configuration settings for your current network adapter.
In the "Proxies" tab, check the "Web Proxy (HTTP)" box, and enter your Burp Proxy listener address in the "Web Proxy Server" field (by default, 127.0.0.1), and your Burp Proxy listener port in the (unlabelled) port field (by default, 8080).
Repeat these steps for the "Secure Web Proxy (HTTPS)" checkbox.
Ensure the "Bypass proxy settings for these Hosts & Domains" box is empty.
Click "OK" and "Apply" and close the open dialogs.