After installing the 5.6 release, you will want to go to -stable:
Fetch the source. Untar src.tar.gz and sys.tar.gz; or use anonymous CVS:
cd /usr ; cvs -d email@example.com:/cvs get -rOPENBSD_5_6 -P src
The stable CVS branch already has the patches.
Go to http://www.openbsd.org/errata56.html, fetch patches and read the first lines of each:
For example, open http://ftp.openbsd.org/pub/OpenBSD/patches/5.6/common/001_rxr.patch in a browser. If you fetched the source via CVS, verify that the changes are in your tree by reading the patch.
Follow the instructions on the top of each patch.
Check http://www.openbsd.org/errata56.html, so far 1 patch for OpenBSD 5.6.
Main reference: http://www.openbsd.org/stable.html
If you have lots of systems (for your values of lots): Fetch source, build a -stable release(8), run upgrades off install56.fs or bsd.rd and sets.