I just tested this on my old Google G1(Dream) with CyanogenMod 6.0.2(RC), and I think it could apply on other CyanogenMod rom with OpenVPN GUI.
Not like OpenVPN on Windows or Linux which needs a config folder holding separate keys and certificates, on CyanogenMod, the OpenVPN GUI needs a PKCS12 compressed file to perform importing actions.
Lets say you have got the three files: client.key, client.cert and ca.cert, then you could compress them into a single PKCS12 file by running the following command(Linux):
openssl pkcs12 -export -in [PathToClientCert] -inkey [PathToClientKey] -certfile [PathToCACert] -name [FriendlyName] -out certs.p12
Be sure to replace all the [PathTo**] with appropriate path to your files. On Windows, you could using “openssl.exe”.
Once you got the PKCS12 file, copy it to your Android SDCARD root, and go to “Settings › Security and location”, and then select “Import from SDCARD”.
After importing, you could go to “Wireless > VPN Settings”, and create a new OpenVPN connection and do your stuff.
BTW. You should configure OpenVPN on Android carefully according to the configuration file from Linux or Windows, something important like key-size and encryption method may result very differently, check them by tap “Menu > Advanced settings” in OpenVPN GUI.