Just do a normal installation selecting your USB as a destination drive. Nothing special needs to be done. You can use iso installation media if you have DVD/CD drive. Otherwise to boot from a USB use .fs images provided. You can also do PXE boot mass installation and pool installation configurations from a web server. OpenBSD installer is no nonsense fully scriptable shell only installer.
You can use the fbsd-install-iso2img.sh script found here: https://people.freebsd.org/~syrinx/fbsd-install-iso2img.sh to create a bootable image of the FreeBSD .iso install disk and boot up and then select LiveCD when prompted. It's pretty straight forward, just run the script and give in the BSD iso image and output file, then use dd to copy the boot image to the USB stick.