The OMG transaction is listed here on etherscan. I initiated it around 7:30 AM this morning, even though the timestamp on that page always seems to restart everytime I refresh the page. I found a myetherwallet.com help page for cancelling a pending transaction. The instructions for cancelling a transaction involve generating a '0 ETH' transaction to your own address, along with other details. My question is, should I still be doing a 0 ETH transaction to myself, or a 0 OMG transaction to myself since the original transaction was OMG and not ETH?
A 0 ETH transaction with the same nonce as the transaction to be cancelled is fine. The same account cannot have two transactions with the same nonce; any transaction (with high enough gas price), really, could be used to replace the one that's still pending.