I installed 4.8.1_p01 on my Mac and tried to set the option to "Copy all Geant4 headers in one directory", but after the make was complete, $G4INCLUDE was still empty. I had to source the env.csh script, go to the source directory, and do "make includes" to get them installed.
When using Configure, headers are installed by issuing the command: './Configure -install' after the '-build' step.