Note: Make sure that you have mkisofs and ncftpget installed before starting.
First we need to make a directory structure that will hold the files that we will be downloading from the OpenBSD mirror closest to you.
cd /usr/local
mkdir -p OpenBSD/3.8/i386
cd OpenBSD/3.8/i386
You could have have made the directory structure anywhere you wanted, I just preferred to put it in:
/usr/local
Next we will need to retrieve all of the files that we will need to install OpenBSD from our ISO.
ncftpget ftp://ftp2.usa.openbsd.org/pub/OpenBSD/3.8/i386/*
Once all of our files have been downloaded, you will end up at the command prompt again. Now we need to go up in our directory structure a bit so that we can build our ISO.
cd ../..
Now for the command to make the ISO:
mkisofs -vrTJV "OpenBSD38" -b 3.8/i386/cdrom38.fs -c boot.catalog -o OpenBSD38.iso /usr/local/OpenBSD/
That command should all be on a single line.
Thats all there is to it. You should now have your shiny new ISO image in /usr/local/OpenBSD with the name OpenBSD3.8.iso.