If you follow the instructions here and use all of the examples it has, you can get it to work as well!
**note that with OpenBSD version >2.9, you need to put the nat rules at the top of your pf.conf.
Then, you can start pf at ppp linkup by adding this to your /etc/ppp/ppp.linkup (this is different then what the link says, since the version the page uses looks like 2.9)
! sh -c "/sbin/route del default"
! sh -c "/sbin/route add default HISADDR -mtu 1492"
! sh -c "/sbin/ifconfig pflog0 up"
! sh -c "/sbin/pfctl -e -l tun0 -F all -O aggressive -R /etc/pf.conf"
the first 2 add the default routes to your routing table, the 3rd starts pf logging, and the last starts your pf firewall rules.
after this, you can dial out using
ppp -ddial pppoe
You will be connected using the tun0 interface, not ppp0. Its ok, because it still works!