@dotdash:
You didn't mention you were running a double NAT and had multiple interfaces with the same gateway. If you had a wan with a public IP and multiple IPs on the subnet, the instructions I gave would work fine. I doubt if anyone is going to be able help you running a strange config like that. What is the purpose of having multiple interfaces going to the same gateway? AFAIK, you still can't run multiple routing tables in pfSense.
Sorry, IP-adresses were just an example, not using double NAT.
Anyways, I got this figured out now. I got side-tracked with proxyarp, which is not necessary in this case.
How I solved it?
Just added more WAN IP's as Virtual IP's with Type Alias (as they can be on the same subnet as the physical WAN).
Added these Virtual IP's and also the physical WAN IP as an alias group ("ALL_WAN_IPs").
Added PAT-rule using the "ALL_WAN_IPs" alias. With Round Robin with Sticky Address.
It seems to be pseudo-sticky though. Clients uses different WAN IP's on different connections. My understanding of Sticky Address was that it uses the same WAN IP for the all connections based on the source (client) IP.
One thing that I still don't understand is that the clients never seems use the physical IP-address from the WAN interface, even though it's included in the Host Alias "group".