Does Sophos AV work with Mac's?
Yes but I wouldn't waste your money on purchasing antivirus software at this point.
How bad a problem are viruses with Macs?
Not a problem with OS X. In fact, there are no known viruses that currently affect OS X which has been available for 6 years now. There has been plenty of discussion regarding if Leap-A falls under the definition of a virus or trojan (which requires user intervention as Leap-A does) but Sophos defines it as a virus because they are interested in sales of their product.
http://www.sophos.com/pressoffice/news/articles/2006/02/macosxleap.html
OSX/Leap.A is a "worm" that spreads via iChat and by infecting applications.
It spreads using a gzip-compressed tar archive called "latestpics.tgz". The archive contains two files:
latestpics - a 39,596-byte executable
._latestpics - a 43,694-byte icon resource fork
The worm does not have an auto-execution mechanism: the only way for the worm to run is for a user to manually unpack the archive latestpics.tgz and execute the malicious code.
http://guides.macrumors.com/OSX/Leap-A