Can I do this in a VM?

Could I do this in a virtual machine inside my main pc?

Sure. You can never turn your PC off though.

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yes, if you're using one of those "friendly" VM setup GUIs that allows you to pick a guest operating system, use FreeBSD 10, that's what recent pfSense is based on.

You can, but as usual I do not recommend it. A firewall always should have it's dedicated hardware to eliminate as many attack vectors as possible.

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