May I recommend PFSense rather than OpenBSD proper, all the power of PF wrapped up in a gui that lends itself directly to firewall configuration. I really enjoyed setting up CARP with it.
PFSense is using an older and patched version of OpenBSD PF and as you said all the configuration is done using the gui. PF configuration in OpenBSD is very simple using the cli and following the official FAQ: http://www.openbsd.org/faq/pf/index.html