I just set this up on my system. It was actually much easier than I had expected. I just installed OpenVPN from the ports tree inside my Transmission jail and setup the client config file and the autostart options.
I use Private Internet Access as my VPN server so what I did has some steps that are specific to that (mainly that they use username-pass auth instead of keys) but most of it should be applicable to other people. I will look into writing up a step by step guide when I have a bit of time later this week/next week.