OpenBSD's upgrade path involves booting an instance of the newer OS and letting it copy the new system files to your old partition. You can do this by several methods for instance booting from a CD burnt from an ISO or copying the new version of the ramdisk kernel to your root and booting that. I chose this method as it seemed the simplest, installing wget, FTP'ing the bsd.rd file directly in and rebooting. At initial boot there's a five second wait which allows you to change the boot parameters to boot your new shiny ramdisk kernel and start the upgrade. Except on OpenBSD 4.8 hppa, there is no delay. It took me a lot of searching about to come up with a solution and it reminded me that weird architectures (like HP PA-Risc in this case) plus DIY OSes (any BSD, a number of the more geeky Linux distros) should come with a notice saying "here be dragons", just in case you might have forgotten from the last time :)
In the end the answer was to create and edit the file /etc/boot.conf and add the parameters :
set image bsd.rd
and then follow the instructions, installing the sets, etc. At the end of the upgrade process, you are dumped at a prompt with a recommendation to reboot. Instead I went to /mnt/etc and deleted my boot.conf as I had visions of endlessly rebooting into my ramdisk kernel. It worked for me.