It's not possible for the most part.
Sometimes OED allows it's page to be seen for free. But try visiting the same link another time, and you'll see a paywall.
There are a handful of pages that are permanently open for view:
dictionary | English | digital | mammoth | galactico | ninja | palfrenier
Others popup from time to time, and it seems that the one example 'say' by coincidence was available the past couple days.
So, no, you can't do as they've done reliably. If it were reliable (permanent URLs) it would be totally allowable, even encouraged from the OED side.
On the other side, it is considered reasonable (and legal) to post small snippets here, either an image capture or cut and paste of 'Fair Use' sized pieces of text. That is a broader issue that has been addressed elsewhere on meta (link is only one of many in the discussion).