OpenBSD does not seem the platform of choice for a virtual machine host
Update 2015-08-31: Something is on its way: 'virtualization support' - MARC
While searching I noticed there was not much activity in the field of using OpenBSD as a host operating system, with some solutions such as VirtualBox and Vmware not supported at all.
Theo de Raadt, BDFL of OpenBSD, has said the following about x86 virtualization:
x86 virtualization is about basically placing another nearly full kernel, full of new bugs, on top of a nasty x86 architecture which barely has correct page protection
So the support for x86 virtualization in OpenBSD is less than enthusiastic.
Read more: Link - 'Re: About Xen: maybe a reiterative question but ..' - MARC
Some info is available though:
Install and Run Windows Within QEMU Virtualization on OpenBSD or Linux