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You've got to do a sync to get the calendar written with the new information, and then the Calendar app needs to grab the new info. Depending on your settings for fetching new data in the Mail, Contacts, Calendars settings, that might take a while, but it should really only be an issue if you are setting or changing due dates in the next few hours. Running with Fetch New Data set to Push and Fetch to Every 15 Minutes I get updates in a timely fashion, and for anything really close I would put on suspenders as well as a belt and use the Clock app to give me an additional alarm.

If you run iOS4 on your device, there's a new local notifications service that OmniFocus will use instead of the calendar-based approach. See the beginning of this thread for details.