Do you really want to reformat the pen drive? Most come formated out of the box with msdos (aka vfat in linux) which can be mounted by BSD, Linux, Windows and Mac. If you want to make a bootable OpenBSD system on the pen drive there is some information in the FAQ,
http://www.openbsd.org/faq/faq14.html#flashmemLive
on the Web.
http://www.magooswisewords.com/Magoo...nbsd-usb-1.htm
One OpenBSD contributor has even made *.img files that can be dd directly to the pen Drive
http://liveusb-openbsd.sourceforge.net/