Installation Handbook: Chapter 1: Maybe don't use `/dev/sdX` as target device name parameter for `dd` command.
I've just realized that, in the instructions on how to create a bootable installation medium on Linux or BSD, I used /dev/sdX as the parameter for the target device. However, sd[[:alpha:]] seems to be a Linux thing. On BSD, device names may look quite different. The chapter on creating installation media in the OpenBSD FAQ says a few things about that.