On OpenBSD 3.2, given the steps outlined above using pre-built packages you will get a new "/var/www/conf/httpd.conf" that contains a section like this:
This causes mod_php4 to load only when starting Apache w/SSL, so if this isn't what you want add the mod_php4 line again above (or below) this section, like so:
AddModule mod_php4.c <<------ SEE? - now should load normally.
I also added this for good measure:
AddType application/x-httpd-php .php [blah blah]
Seems to work.