Mark Peoples has a very nice write-up for using a USB Flash drive to Install OpenBSD. It uses the first 8 MB of the flash drive for an OpenBSD partition and then the rest to use for storing files (Fat32) that can be accessed by many operating systems. I highly recommend reading it.After following Mark's directions, stick the flash drive on a machine you'd like to install/upgrade OpenBSD on and boot to a USB drive. It should feel just like the process of using a CD or bsd.rd directly.
Updating the flash drive is easy as well: mount sd0a and download a new bsd.rd (as "bsd") to it.
