First, get your certs and lets generate a PKCS12:
openssl pkcs12 -export -in [ClientCert] -inkey [Key]
He asks to make a password and will generate a file certname.pl2 (or whatever you choose), copy this file to the root of your SDCard.
Go to Settings -> Location and Security -> Credential Storage
Go to Wireless & Networks -> VPN Settings -> Add VPN -> Add OpenVPN VPN and configure your VPN options like name, ip and choose the certifications.
You're good to go. :)