OpenCSW no longer offers catalogs for Solaris 8.
Solaris 9 is on its way to deprecation. Solaris 9 catalogs get very few package updates.
pkgadd on Solaris 8 and 9 does not support installation directly via http. In such case you need to download pkgutil with a separate tool like wget, and install it from disk:
wget http://mirror.opencsw.org/opencsw/pkgutil.pkg pkgadd -d pkgutil.pkg all
Continue to Full setup.