If you want all the DNS traffic filtered by Pi-Hole, then all the DNS traffic needs to go to Pi-Hole only. If Pi-Hole doesn't block the query, then Pi-Hole will forward the request to OpenDNS if OpenDNS is the upstream DNS server for Pi-Hole. As you note, if clients have the option of going to OpenDNS directly, that traffic bypasses Pi-Hole.
Local domains can be mapped in /etc/hosts or in a configuration file in /etc/dnsmasq.d