You need memory file systems for that.
It is very easy under OpenBSD.
man mount_mfs
You have examples in Andreas Bihlmaier's liveCD writeup here.
http://openbsd-wiki.org/index.php?title=LiveCD
You typically have to create a tar zip of the mount file system and
untar it in the RAM disk and you are set.
It is a good idea to mount /tmp and /var on RAM disks.
-Girish