SFTP is supported by OpenSSH, which is built-in with OpenBSD.
The server is sshd(8), which is typically started via /etc/rc via the sshd_flags variable as set in /etc/rc.conf and overridden in /etc/rc.conf.local. You were asked about it when you installed OpenBSD; if you declined to have sshd run, it will be disabled in /etc/rc.conf.local. Delete the entry to enable it, as it is enabled by default in /etc/rc.conf.
For a complete list of man pages for OpenSSH, please see
http://openssh.org/manual.html -- you will want to read
at least sftp(1), sshd(8), sshd_config(5), and perhaps the highly useful ssh(1).