I also use the dkimproxy package, but there's now a third-party OpenSMTPd module that can sign messages in-line.[1] I've always found dkimproxy setup a little confusing compared to a built-in/in-line solution. I might try to switch to the module during the OpenBSD 7.1 upgrade process.

[1] I think this is the one I had I mind, though I didn't realize it was already in ports: https://cvsweb.openbsd.org/ports/mail/opensmtpd-filters/dkim...