Instead of following that guide, why not just plug the usb stick into your main computer, boot from a CD, and install OBSD on the USB stick as if it were a regular Hard Drive? That's what I did and now I have a wonderful "live" USB stick to play around with that I can also use for installing OBSD.
Here's the directions right on openbsd.org's web site. http://www.openbsd.org/faq/faq14.html#flashmemLive
To use it as an install guide, put bsd.rd under / on the drive. When you boot the drive, tell it to use bsd.rd. That'll start the install.
I put the other install files under /usr/local//
Once I've boot bsd.rd, I just point to that location to install OpenBSD.