The audio comes in via the USB port, but it requires more than a little customization. Here's what's worked for me on my PowerBook:
Plug in the turntable, connect it to your Mac, turn it on.
Open Applications -> Utilities -> Audio MIDI Setup
Set Default Input, Default Output and System Output to "USB Audio Codec"
Set Audio Input Format to 44100Hz, 2 channel, 16 bit
Open Audacity. In preferences, set I/O recording device to USB Audio Codec. In Quality, set Sample Rate and Format to 44100Hz and 16-bit.
The problem - there's a persistent bug in either Audio MIDI or Audacity that will sometimes revert your settings after you've set them. You may need to try several times. I believe this is an Apple bug and would love to see it fixed in 10.4.7... hint, hint...