Make backups, make sure you can restore them, then just step through it one version at a time. Things got a lot easier around 6.6 when sysupgrade was introduced.
My only concern is if I'll find missing packages for such old releases - I guess that's nothing a VM wouldn't show though.
That many years of package changes could be troublesome to deal with, and it may be better to fast-forward to whatever the modern tooling would be.
However speaking with my manager I think the long term plan is to dump it for RHEL - too bad because I'd like it on my resume :-) Not every day you can play with OpenBSD in prod - usually it's just on my oddball computers.