I was able to find the solution to my problem. I'm now using pftpx instead of ftp-proxy. I think it will replace ftp-proxy in openbsd 3.9 and it works really fine on 3.8. Like ftp-proxy it's a proxy but can dynamitically alter PF rules on needs so no unwanted open ports are needed.
http://www.sentia.org/downloads/pftpx-0.8.tar.gz
