tested on openbsd 7.8

set time zone on openbsd

check your current time with date(1):

# date
Mon Apr 01 13:37:00 UTC 2019
#

the local timezone is utc.

check /etc/localtime with readlink(1):

# readlink /etc/localtime
/usr/share/zoneinfo/UTC
#

it's a symbolic link to utc time zone file.

find a file for the time zone you want to set with find(1):

# find /usr/share/zoneinfo -name 'Tall*'
/usr/share/zoneinfo/Europe/Tallinn
...
#

set timezone with zic(8).

# zic -l Europe/Tallinn
#

Check the time zone:

# readlink /etc/localtime
/usr/share/zoneinfo/Europe/Tallinn
# date
Mon Apr 01 15:55:55 EET 2019
#