In case anyone else encounters this issue in Terminal in OS X, setting the following Terminal preferences allowed me to use Chris’s tmux key bindings with both vim (w/ thoughtbot/dotfiles) and zsh.
In Terminal -> Preferences -> Profiles -> [Your Current Profile] -> Keyboard, add the following Key -> Action mappings:
<Shift><Cursor Up>: \033[1;2A
<Ctrl><Cursor Up>: \033[1;5A
<Shift><Cursor Down>: \033[1;2B
<Ctrl><Cursor Down>: \033[1;5B