I tested this on OpenBSD 3.9, 32-bit on a 64-bit Linux host. The installation CD/floppy for OpenBSD 64-bit would not boot at all on my system with a Pentium D 950 CPU.
I don't install X windows on my OpenBSD installs, since I use OpenBSD for firewall and server duties. Hence, I didn't figure out how to make X work. 
Configuring OpenBSD on VMware:
1. Set up your VM using the OS Type of FreeBSD. I prefer LSILogic and SCSI disks.
2. Modify the .vmx file and add the line before installation:
Ethernet0.virtualDev = "e1000"
3. Install OpenBSD per your preferences.
Steps for VMWare tools:
4. (Optional) Install nano:
pkg_add ftp://ftp.openbsd.org/pub/OpenBSD/3.9/packages/i386/nano-1.2.5.tgz
5. Enable kern.emul.freebsd=1:
nano /etc/sysctl.conf
uncomment that line
save
reboot
6. Make /emul/freebsd/sbin directory:
mkdir /emul
mkdir /emul/freebsd
mkdir /emul/freebsd/sbin
7. Mount VMWare tools cdrom:
Install VMWare tools... in the console
mount /dev/cd0c /mnt
8. Extract VMWare tools:
cd /mnt
tar xvzf vmware-freebsd-tools.tar.gz -C /root
9. Find and copy VMWare guestd:
cp /root/vmware-tools-distrib/lib/sbin32/vmware-guestd /emul/freebsd/sbin
10. Find and copy VMWare scripts:
mkdir /etc/vmware-tools
cp /root/vmware-tools/distrib/etc/* /etc/vmware-tools
11. Update rc.local:
add the following before echo '.'
if \[ -x /emul/freebsd/sbin/vmware-guestd ]; then
echo -n ' vmware-tools'; /emul/freebsd/sbin/vmware-guestd & > /dev/null
fi
12. Modify shutdown, as shutdown from the OpenBSD tools will only halt the machine:
12a. Download source code for shutdown:
cd /usr
cvs -d anoncvs@anoncvs.ca.openbsd.org:/cvs get src/sbin/shutdown
12b. Modify shutdown so that -h is the same as -hp:
cd /usr/src/sbin/shutdown
nano shutdown.c
after line 141, on line 142: add dopower = 1;
save, exit
make
12c. Move old shutdown:
mv /sbin/shutdown /sbin/shutdown.old
12d. Move new shutdown in place:
mv /usr/src/sbin/shutdown/shutdown /sbin
12e. Test shutdown the system:
shutdown -h now
13. While the system is powered down, modify the .vmx file:
tools.syncTime="TRUE"
14. Power up and test the Console and MUI controls. Also, check time sync with the date command.