Previous versions of OpenBSD didn't work and play well with some hypervisors, Xen and KVM included. One had to worry about using the right virtual NIC, fixing some MP BIOS settings, etc., and even then it often wouldn't work. With 5.3, things seem to have evened out. One still has to set the NIC to be a e1000, but that's it. Here are two screen shots from virt-manager. Set things up as desired, but on the last screen, tick "Customize configuration before install" before clicking Finish. Then, specify the NIC, and click Apply.
Some hypervisors like having "Virtio" set for disks:
And while you're at it, change the keyboard from the default so it will work with xquartz: