I found this online. Its not exactly a walkthrough; however, with what it says it shouldn't take you too long to figure out. Basically, obsd server and linux thin clients. You won't really have to go through all of the setup that you would with an xp domain server. You basically just use ssh and login to your profile on the server.
Personally, I've really enjoyed OpenBSD, despite numerous naysayers
Code:
I've actually used OpenBSD as an LTSP server. The clients are web
terminals used in a library to view the card catalog. It was slightly
more hassle to set up than a standard installation that uses Linux, but
once everything was configured it worked beautifully. If you want my
installation notes on the process i would be happy to send them
privately (to avoid list clutter) on request.
My setup was with the clients configured to run everything locally
(using the server simply as a filesystem). I did a bit of experimenting
running applications on the OpenBSD server and having them display on
the Linux clients. I was able to get it to work by displaying the
application through an SSH tunnel. Unfortunately, the clients i was
using (LTSP Jammin-125, an older model they don't seem to sell anymore)
were a bit too slow to perform well while handling all the SSH
encryption. Someone who understands X11 configuration better than i
should be able to set it up without needing the SSH tunnel which would
probably have made it fast enough to be useable.