OpenBSD 6.0 has been released, with tones of improvements. They're listing this one as one of the biggest changes:
In their latest attempt to push better security practices to the software ecosystem, OpenBSD has turned W^X on by default for the base system. Binaries can only violate W^X if they're marked with PT_OPENBSD_WXNEEDED and their filesystem is mounted with the new wxallowed option. The installer will set this flag on the /usr/local partition (where third party packages go) by default now, but users may need to manually add it if you're upgrading. More details can be found in this email. If you don't use any W^X-violating applications, you don't need the flag at all.