At home I have almost the same exact setup you are planning to use, even 
though I'm now using PfSense instead of Monowall for stability issues I 
encountered (see my recent post in this list for details).

Basically I'm running VMWare Server on a Windows Host with 3 NICS. Nic1 
connected to the cable modem and bridged to the WAN port of the 
firewall. Nic2 connected to my LAN switch and bridged with the LAN port 
of the firewall. Nic3 connected to my web/mail server with xover cable 
and bridged to the OPT(DMZ) interface of the firewall.

Important thing to note, is that the host has no networking protocols 
bound to either Nic1 (WAN) or Nic3 (DMZ) so basically the host OS sees 
them as Ethernet ports, but cannot communicate directly through them. 
Those two nics only have the VMWare bridge protocol bound to them for 
obvious reasons.

I eventually plan to move my DMZ server inside another Virtual Machine 
and use a virtual adapter instead of Nic3 for my DMZ. I will just need 
to add more ram to my host machine (only have 512MB at the moment) in 
order to keep things running smoothly.

I started this as experiment just to see if it would actually work and I 
besides the initial problems I encountered with Monowall, that forced my 
to switch to PfSense, everything works great now and I was able to 
eliminate my old Pentium 1 box and make the wifie happier in the process 
by reducing the computer junk laying around the apartment ;).

I'm not familiar with configuring VMWare on a Linux host, but if you 
have any question feel free to ask.