The isource of information you used is either dated or from another OS. dbus_daemon is now "messagebus" and gdm is started by pkg_scripts.
One of the good things about OpenBSD is that all changes are documented in
/usr/local/share/doc/pkg-readmes
Here are the insturctions:
http://cvsweb.openbsd.org/cgi-bin/cv...kg/README-main