Problem solved! My Soekris net5501 is now booting from hard drive. The solution is here: http://archives.neohapsis.com/archives/openbsd/2004-05/2036.html
Thanks for everybody's help, Ken Hendrickson PS Note to OpenBSD: I've never installed to a virgin disk before. I didn't know that I had to do fdisk -u wd0 to write a master boot record. I would like to suggest that the install process should check for the lack of a MBR, and if no MBR is found, prompt the installer to write one. If such code existed in the install process, I would not have had the problem I just had over the last week.