How to apply updates on OpenBSD, NetBSD, and FreeBSD?

I'm using OpenBSD for quite a while now. All I do, however is go from one release to the next, always just doing an update. I configured the system so it works as my router and firewall, and it works quite well like that. But I never update packages. All I do is just move on to the next release. Coming from the Linux world, I'm used to applying updates a few times a week; but how do I do that on *BSD? - Or is this not part of the *BSD philosophy?