Use mkdir to create a directory such as /etc/config/openvpnfiles and place your .ovpn file, certificates, etc there. Edit the /etc/config/openvpn file to point the instance of OpenVPN to the .ovpn file which you obtained from the VPN provider and stored in /etc/config/openvpnfiles. This is better than storing files in /etc/openvpn (as most guides say) because everything in /etc/config and under it will be preserved when you upgrade OpenWrt.