> I saw some people using CF as boot device, others using the CDROM.
> Is there any difference/recommendation ?

I think it's more personal preference then anything else, but in general,
CDROM is easier to recover if something goes wrong during an upgrade (just
replace the older CDROM), but updating a floppy drive can be slow and
there are more moving parts (Both in the CDROM and floppy) so more failure
points.

> Where m0n0wall stores the log files?

In RAM.

> Bigger CF should it be useful or just a waste ?

In general, it's a waste.