The bsdwall script rewrites eight files in the /etc (configuration) directory of a "vanilla" OpenBSD machine.
These pages go over those files, and the changes to them, line-by-line. /etc/dhclient.conf : Sets which NIC looks "outside" for DHCP service as a client.
/etc/dhcpd.conf : Configures the DHCP server provided to the inside machines.
/etc/dhcpd.interfaces : Sets which NIC (the "inside" one) the DHCPD server works on.
/etc/ipnat.rules : Sets how the firewall also provides NAT, (many machines share one connection)
/etc/rc.conf : Sets a kitchen-sinkful of machine settings, several of which are changed.
/etc/sysctl.conf : Helps turn on NAT
/etc/ipf.rules The actual ipf.rules file. Heavily internally documented.