First:
Open vSphere and connect to your ESXi Server.
Click the Configuration tab.
Click Networking.
By default you should usually have vSwitch0 which contains VM Network, Management Network and any VM's you've setup..
...You can keep this as the "LAN" side of your network, just note its called "VM Network" by default ---- You can rename it to "LAN" if you want.
Now to setup you WAN:
In the top right hand corner click "Add Networking..."
Click Next (with "Virtual Machine" Selected).
Select the Network Card you want to use for you WAN and click next. (Make sure you don't have both network cards selected).
For the "Network Label:" field - You will probably want to enter "WAN" or whatever you want to call your outside/internet network.
Click next until your finish.
You should now see vSwitch0 as describe above and vSwitch1 below it with the network label your provided.
Note the physical adapters on the side of each vSwitch should be different ... Example vSwitch0 should have vmnic0 and vSwitch1 should have vmnic1 or vice versa, but both network adapters should NOT be attached to the same vSwitch.
Adding the WAN to your Firewall:
Right click your Firewall VM
Click "Edit Settings".
1 Network Adapter should be show by default.
Click the "Add.." button (so we can add the second network adapter)
Select "Ethernet Adapter" and click Next.
You can keep the Adapter Type as "VMXNET 3" unless you prefer something different - its the default.
Now Make sure you now set the Network Connection to "WAN" - (the vSwitch you just setup).
Then click next until your finished.
Then you'll boot up your Firewall and configure it accordingly..
PS. -- I'm curious - Is Sonic Wall Free for Home Use?
I currently use Sophos UTM Firewall in a VM in the configurations I just described.