Let's not waste any more of Theo's time. USB sticks are not the magic device that some seem to think. Some are not very reliable and prone to failure. I've had very mixed results with budget USB sticks in particular. Going with a more expensive USB stick like a major brand name *usually* turns out better but that's still no guarantee. If you don't want a CD set, simply donate the amount the CD set costs directly to the project. That provides funding for OpenBSD while also not wasting anyone's time.
http://www.openbsd.org/donations.html Bryan