There is a WIP port of CDE for OpenBSD available on github:
cd /usr/ports git clone https://github.com/jasperla/openbsd-wip
To build the port, you first need to apply the patch to OpenMotif in the port directory and then rebuild the openmotif port to get Motif with Xprint support.
cd /usr/ports/x11/openmotif patch </usr/ports/openbsd-wip/x11/cde/openmotif_xprint.diff make install clean
Then, you can proceed to build x11/cde itself. It will download and install the latest tarball of CDE.
cd /usr/ports/openbsd-wip/x11/cde make install clean
The README file has instructions on how to set up CDE. Be aware, however, that the current version has some limitations. For now, it is best to use another login manager and launch dtsession from your .xsession file.