Network configuration in OpenBSD is not friendly to roaming users which is not to be seen as a critiscm. A secure OS just does not hook-up with the first available router
One option is to have two hostname.wpi0 interfaces, ie one with no wpa or wep and another with what ever encryption your home router users. Rename the one you want to use to hostname.wpi0 while renaming the additional interface as something like home.wpi0. Restart your network with
#sh /etc/netstart wpi0