psql and Gnu readline

I've just installed PostgreSQL 7.02 on my OpenBSD box. Everything is
working fine. I made sure to link in gnu readline in psql. It seems
to be working, because I can edit a line. For instance, Ctl-A takes
me to the beginning of a line, Ctl-K kills it, etc. However, Ctl-P
doesn't go up a line, so I can't access previous lines, and lines are
not saved in the .psql_history file which is mentioned on the man
page.

Any idea what to do? Line editing is so handy to have in something
like this.

Thanks,

e