Some clients, e.g. GNOME Files or Cyberduck on the Mac, cannot connect to the SCP server provided by OpenWrt's standard ssh server, dropbear, unless an additional binary is installed in /usr/libexec/sftp-server - this can be done with:

# Enable sftp, work around https://trac.cyberduck.io/ticket/4161
opkg update
opkg install openssh-sftp-server

Now you can use sftp clients such as GNOME Files or Cyberduck to connect to the OpenWrt system. Note that no additional startup scripts are required since all of that is handled by dropbear which is most likely already present on your system.

If you would like to announce the service on the network using Bonjour/Zeroconf so that Cyberduck finds it, you you can install the announce package, starting from Chaos Calmer:

opkg install announce
/etc/init.d/announce enable
/etc/init.d/announce start

announce will notice that openssh-sftp-server is present and will announce the sftp service on the network.