... or you even use anoncvs as is described here:
http://www.openbsd.org/faq/faq5.html#Bld
and here:
http://www.openbsd.org/anoncvs.html
You don't have to install anything, just put some "export CVSROOT=<choose a server from http://www.openbsd.org/anoncvs.html#CVSROOT>" in your .profile, log out, log in again, and there you go
.