To connect your Mac to the 95LX, you will need a serial cable (HP 82209A, retail: $60) that comes with the "Apple Macintosh Serial Interface" kit. The kit also comes with a diskette of Mac utilities for use with the HP 48SX Programmable Calculator. The serial cable is all you need.
To get started, connect the serial cable from your 95LX to the modem port of your Mac. (Later on, you may want to invest in an A/B transfer switch [2:1 Mini DIN 8 Switch Box] to connect both your modem and HP serial cable to the same outlet on your Mac. MacWarehouse advertises one for $29.)