pfSense supports a variety of virtualiztion environments, such as VMware (vSphere, Fusion or Workstation), Proxmox, VirtualBox, Xen, KVM, Hyper-V and so on. Some platforms are better suited for testing than production. Certain platforms also have specific quirks. Check other articles in the Virtualization Category or search the forum for specifics.
Set up and install is straightforward and similar to set up on a physical machine using a full installation from an ISO image.
Currently available guides on pfSense virtualization: