Do not install it from source since it will not show jpeg delegate. Instead, if you have homebrew, use it:

brew remove jpeg
brew remove imagemagick
brew install jpeg
brew install imagemagick
brew install ghostscript

You may need to change permission for directories under /usr/local but it’s pretty easy (use “sudo chown -R $USER /usr/local/include”, for example).
Remember to add a symbol link for convert (and mogrify) to “/usr/local/bin/convert” after you’re done.