Since we're talking about ports and packages, I'll offer the following "food for thought."
It is contrary to good practice to install a development environment and tools on the perimeter gateway/firewall machine. If you need to "role your own," it's unwise to do the "rolling" on the bastion machine itself.
When I have to do this, and the openVPN ports was such a case for me, I used VirtualBox (free) on another machine (Windows XP), created a 640MB RAM, 4GB disk virtual machine, installed a full-on version of openBSD into it, rolled the openVPN stuff and, then scp the results over to the bastion gateway.
This keeps the bastion box clean and purpose-specific.
The VirtualBox VM with the developer-wise openBSD instance can be stopped, started, or destroyed as needed.
There are, of course, other VM engines, but VirtualBox is the one I like because it runs on both Solaris and Windows which are my two primary desktop O/S's.
(let the this VM vs. that VM flame wars begin
).
Good luck,
/S