www.youtube-dl is python based and upstream provides an update mechanism:
https://rg3.github.io/youtube-dl/download.html.
You can install/update directly from upstream and the binary will go in the correct place. Some of the documentation (man pages) will not. If you try this on an installed package, it would work but give you some, mostly harmless, extraneous documentation files. It also will not pkg_delete cleanly due to a checksum mismatch.
http://cvsweb.openbsd.org/cgi-bin/cv...ype=text/plain
The other option would be to install from ports and when you need an update, tweak the port to package the latest version to /usr/ports/packages (make package). Then set the PKG_PATH to /usr/ports/packages and pkg_add -u youtube-dl.