This assumes you only used the provided packages in the core system (anything you installed via pkg_add) almost all of these will be chrooted and secured for you, so there’s nothing for you to configure.
Your configuration stuff (/etc/* and so on) and things you may need to roll back. /home Would be untouched during the upgrade.
From the FAQ of your version. There may be a couple of services to stop and files to move around. I only had to stop Kerberos :
/etc/rc.d/kadmind stop /etc/rc.d/kpasswdd stop
And I stopped a few running services via /etc/rc.d/[service] stop just to be safe.
3) Download bsd.rd
Navigate to ‘/’ and then:
ftp ftp://[your mirror of choice]/pub/OpenBSD/[your version]/[your platform]/
E.G. I downloaded mine from http://openbsd.mirror.frontiernet.net/pub/OpenBSD/5.4/amd64/ to upgrade from 5.3 to 5.4. Note: You must only upgrade from one version to the next immediate version 5.2 -> 5.3, 5.3 -> 5.4 etc…
5) Run pkg_add -u to upgrade installed packages.