OTG does work on the SP, i have tested it, but you need additional software as you would other phones for example ES File Explorer.
When you first connect it, a notification should pop up telling you a USB device has been connected. Then start ES File Explorer, it'll start up in the "sd card" section, press the / key to go up to the root and then from there enter the usbdisk folder where you should see the contents of the USB.
