If you want to do pass through with every NIC in the box, what is the point of having the OS run on VMWare? Since there won't be any other NICs for other guests you might as well install it on the metal.
Edit: In light of your recent comments - Why not use vSwitches and tag the ports appropriately at the physical switch?
Edit 2: I'm doing this from memory, as I'm not in the office so bear with me. In configuration > networking > add networking. Then you want to add a Virtual Machine network to each of the NICs that you want. Each one will have a different name and you should name them descriptively (ie FW-Trust, FW-DMZ, etc). You can choose to tag the traffic there, or you can leave it untagged and just tag the ports on the physical switch behind it.
Then in the VM go to edit > Add > NIC and then in the Network drop-down you should see the name of each vSwitch that you created in the configuration tab. Just add as many virtual NICs as you want that correlate to the vSwitches that you created.