install OpenBSD on USB drive

1) if you want to keep a FAT partition for using on Windows, make the FAT partition the first one, otherwise Windows cannot read it.

2) Install OpenBSD on the selected USB drive as the normal installation process. Remember to make the OpenBSD MBR active, or use tools such as Linux GParted to flag it as boot.

3) Soft update set in /etc/fstab could make I/O much faster: rw,softdep.

REFERENCE:
http://openbsd.org/faq/faq14.html#flashmemLive
http://openbsd.org/faq/faq14.html#flashmemBoot
http://openbsd.org/faq/faq14.html#SoftUpdates