Wait on; I'm wrong. Sorry. The new (Tiger) way of doing this does NOT allow for alarms! I used to use a third party program called "AddressBookToiCal" which made ordinary appointments on a "Birthday" calendar.
In defense of my response, you answered your own question:
You said "just like normal appointments". If you know how to add appointments to normal appointments, the process (I thought) is IDENTICAL for birthday appointments.
Obviously, that turned out to be wrong, and I retract my answer.
As an aside, I'm not a penguin, and I'm not from Texas. I'm an Australian human being.