This is how I set up a readonly OpenBSD 6.8 system.
The system is a router running off an SD card. I want to minimise wear on the SD card, and I want the system to come up clean after a power failure. For times when I need to make a quick tweak, I can still go read-write temporarily.
This is unfortunately not a supported OpenBSD setup, and small tweak to /etc/rc is necessary.

This document describes how OpenBSD (obsd) can be installed and run off a USB stick without the need for a hard drive. Write operations to the USB stick are avoided.

OpenBSD-based live system