ONLamp.com has a new article on creating an OpenBSD LiveCD. Don’t forget to read the second page, where the author describes how to configure a firewall/router on this LiveCD. And you thought OpenBSD made a secure firewall before it was read-only.
This article describes the process I used to create a Live CD based on OpenBSD/i386 3.7-current. It should be no problem with 3.7-release either.