The various BSD systems have a very clear separation into "base system" and "3rd party software (ports/packages)". You upgrade the two separately.
In the case of OpenBSD, assuming you want to move from one stable release to the next stable release (jumping releases is not supported unless you make a fresh install), you start off by reading the specific FAQ for the upgrade you're performing. In the case of upgrading from 5.9 to 6.0, you read the "Upgrade Guide: 5.9 to 6.0".
In general, the gist of it involves booting the installation media for the release you'd like to upgrade to and selecting "(U)pgrade" from the menu. Once the base system is upgraded, you boot it and, as root, upgrade any installed packages with
It is unusual for packages belonging to a stable OpenBSD release to update very often. Usually that only happens when critical bugs are fixed. So running
pkg_add -u several times a week will probably not do very much (but do keep doing it as it may pull in critical fixes).
If you follow "current", things are very different. Then you'd be building your packages from the ports tree checked out with CVS under
/usr/ports, and you would probably be rebuilding the base system manually too (see "Building the System from Source"). Installed ports may be updated with
/usr/ports/infrastructure/bin) if given the correct options and a list of manually installed packages.
pkg_info -P -q -m | sort -o "$HOME/packages"
/usr/ports/infrastructure/bin/dpb -scuR -P "$HOME/packages"
$ doas pkg_add -u -D unsigned
$ doas pkg_delete -a
This is not encouraged for new users.