I wasn't recommending double NAT, I was saying if you had your OpenBSD system set up as a bridge.. other systems on your network wouldn't even know it was there, your modem would still be your router.
Disabling the NAT functionality and forcing your modem itself into bridge mode would allow you to use OpenBSD in that role instead.
I guess the real question is, what problem are you trying to solve with OpenBSD?
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