Go to Yahoo, click in their search field and a magnifying glass icon with a plus next to it will appear in the status bar at the bottom of the window (View>Show Status Bar if you don't already have it in view):
Click the magnifying glass to add the search engine - note the Keyword is the shortcut you can use in the location bar to do a search directly by typing (e.g. for macupdate.com, I use mu).
Select the search engine from the list by clicking the mag glass in the search bar:
OmniWeb will remember the last used engine and use it as the default from then on.