Terry, you can boot from a USB device rather than network, if you wish. Easy enough to make a bootable stick with bsd.rd and the filesets on it, rather than installing to a USB device. All you need is a running OpenBSD system, then fdisk(8), disklabel(8), newfs(8), cp(1), and installboot(8). Use cp(1) or ftp(1) or whatever(1) to put the kernel and filesets on the stick.
Network boot is fairly easy to set up for i386/amd64, if you'd like to play with it. See
pxeboot(8) for the details.