First, you will need to get your hands on a utility called
"mkisofs".

Next, build yourself a directory structure with at least the
following:

OpenBSD
	+ 4.1
		+ i386
			bsd
			bsd.rd
			base41.tgz
			etc41.tgz
			floppy41.fs
			cdrom41.fs


You can also add all the packages you find interesting somewhere
in that tree.

Now lets cd into the OpenBSD folder and create the ISO:

cd OpenBSD
mkisofs -vrTJ -V "OpenBSD" -b 4.1/i386/cdrom41.fs -c boot.catalog -o ~/OpenBSD-4.1.iso .


Change the -b option to point at whatever boot image you want, and
the -o option to output the ISO image to where ever you want.

Then you just need to burn the image.

sudo cdrecord dev=/dev/rcd0c:0,0,0 speed=24 -dao -v ~/OpenBSD-4.1.iso

Or whatever way you prefer.