Environment variables are not permanent if you just type them in shell.
You need to save that variable in file.
Alternatively you can insert inside pkg.conf:
Code:
cat /etc/pkg.conf
#installpath=http://ftp.fr.openbsd.org/pub/OpenBSD/snapshots/packages/amd64/
installpath=http://ftp.hostserver.de/pub/OpenBSD/snapshots/packages/amd64/
It will configure pkg_*'s mirror path, but not create environment variable.