What I would recommend if you decide to keep the 2 WAN links is to set 2 dedicated NICs and, in windows, remove all protocols except for vmware bonding. this would make sure that you are not going to accidentally route straight from the windows host OS to the internet.
make sure to setup network bonding for the NICs you want to use (i.e. VMNET3 and VMNET4 for WAN connections, VMNET6 for LAN)
setup a virtual machine with 3 NICs (2 set for the protocol blocked NICs and 1 for LAN). install pfSense as normal and assign WAN and OPT1 to VMNET3 and VMNET4 and LAN to VMNET6.
after that follow directions to set up WAN load balancing. I would also recommend you look into changing the NIC driver types in the virtual image to e1000 to be able to handle QoS properly inside.
depending on your existing server config and/or budget, you could get some NICs with TCP/IP offloading to absorb some of the hit.
I personally use Netgear GA311 gigabit cards which go for about 35 bucks, have TCP/IP offloading and run like tanks.
final reminder. MAKE SURE to change startup priority to start the firewall on system startup so if the host is rebooted, the firewall will come back up also. AND make sure to install Open-vm-tools package.