The OpenBSD project is funded by selling CDs, so it's best to buy CDs to support their work.
However, if you don't have time to wait for the CDs to arrive in the mail and you'd rather support the project by purchasing other OpenBSD stuff, here are some scripts for downloading releases and creating your own installation CD ISO image. Keep in mind that this "home made" CD won't have all of the cool extras that the purchased CDs do, but it will get you up-and-running.
Script to download a specific release of OpenBSD for a given architecture: fetch_openbsd
Script to create OpenBSD CDs: make_openbsd_iso
To record the ISO images to a CD, use your favorite burning software or try cdrecord(1).
These scripts were inspired by tips that I gleaned from Calomel.org