http://www.pantz.org/os/openbsd/makingaopenbsdcd.shtml
as normally you have to do an online install without buying the OpenBSD CD, this may be a good solution if you don't want to download it each time
you may find the mkisofs tool at here:
http://www.andante.org/
only the source code is available, but you can use cygwin or mingw to compile it if you are using Windows.