When you ask "where should it go", I interpret that as you haven't even
begun to read the documentation. When I first tried OpenBSD with the intent of setting it up as a gateway/firewall and no prior experience with it, it took me about 2-1/2 hours. My network was online with a basic pf ruleset in place which included some port redirection and dis/allowed services. This included going through the Basic Configuration section of the PF FAQ, as well as documentation for the other services I needed running. I only say that to give you an idea of how much time it took for one person read through it.
http://www.openbsd.org/faq/pf/
Go through the Basic Config section there. It doesn't take that long, and ALL of the information there is going to be helpful, including where you put rules, which is in the very first link: Getting Started.
