It should possible to add the VMXNET drivers to m0n0wall, since it's a BSD OS underneath, here's an old post from someone doing it under VMware GSX server, from 2006, so your mileage may vary:
http://communities.vmware.com/thread/35543Otherwise, I just run the e1000 Intel driver and it seems to work great. I haven't done much for throughput tests, since I was just using it to create a small test lab that just needed internet access.
Someone did some testing between the e1000 and VMXNET 3 virtual NICs with pfSense and they found fairly negligible differences between the e1000 and VMXNET 3 NICs in BSD.
http://forum.pfsense.org/index.php/topic,53185.0.html(Edited to add the pfSense forum link)