Third party firmware installation is normally automatic and happens at install and at upgrade. For new hardware installed onto an existing system, you install firmware after adding the device, using
fw_update(1). That program will either obtain the firmware from an Internet connection or from a path to the firmware package you supply.
If you have an Internet connection via your wired Ethernet... you would insert the device into a USB slot, note the additional kernel messages on your console upon insertion, and then issue:
# fw_update
If you do not have a network connection, you must download the firmware from another machine, transfer it to the system, and then install it manually with
pkg_add(1). Firmware is located at:
http://firmware.openbsd.org/firmware/. In OpenBSD 5.5, fw_update will have a
-p path option to install a firmware package obtained manually.