Set the IP address and netmask from OpenBSD with
Code:
ifconfig $interface inet 10.0.0.1/24
And then from the Pi:
Code:
ip a add 10.0.0.2/24 dev $interface
In both cases replace
$interface with the actual interface name.
Once that is done the two address should be visible from each machine.
No gateway is needed for a cross-cable connection, at least AFAIK. They just need to be on the same subnet.
Disclaimer: I've never actually tried this.