This will install nano and all the appropriate dependencies. If you are running on an architecture other than i386 (standard PC), modify the URL accordingly.
Copy these files to your OpenBSD server, be it via scp, ftp, floppy disk, or carrier pigeon. Put them all in the same directory on the server, and then as root, cd to that directory and run pkg_add -v nano-1.0.9.tgz. This should install nano for use on your system.
Simply edit the file using the arrow keys to move the cursor and type.
Press Ctrl-X to exit, you will be prompted to save the file if you have modified it. Type y, and press enter if you wish to, then choose a filename. The default is the name of the file you were editing, so just press enter to use that name.
nano automatically wraps long lines to a new line when editing a file. Some configuration files won't work if this occurs, in which case you should start nano using nano -w filename to stop the automatic word wrapping.