@cmb:
You can with the embedded version, quite a few people do that. I'd advise against cheap no-name USB sticks as they tend to not be very reliable for always-on long term usage (judging from the experiences of those here in the past who've tried them).
If you have to boot from USB, my recommendation is these:
http://www.amazon.com/dp/B00IVPU894/
http://www.amazon.com/dp/B002HGFKR8/ (buy whatever color is cheapest)
The Samsung MicroSDHC/XC "PRO" cards all use MLC flash. I've been using these with full installs for a while now and have had no failures. I also use them in my home PBX, my RetroPie box, my micro voice recorder, and my car. Amazon had them on sale a while back and I bought like 20 in varying sizes…
Lexar actually makes a better card reader, one that supports USB 3.0 speeds and really lets the Samsung cards fly, but unfortunately they don't sell it separately. If you want a cheaper SDHC card for use elsewhere though, you could always buy this and then just use the reader for your pfSense install.
http://www.amazon.com/dp/B00IF4OC1G/