SmallWall works exceptionally well with most virtualization software like VMware, KVM, Xen, Hyper-V, and Microsoft Virtual PC.
While these types of configurations work very well with exceptionally low loads, it does require two rather advanced skillsets to configure properly. If you are trying to learn VMware ESXi at the same time you are trying to learn SmallWall and firewall concepts in general, you could have some hard times ahead. It may make sense initially to use a PC as your firewall initially, and then virtualize it later once you have things working as you expect them to.
The virtio drivers for KVM are built into the standard SmallWall image, and can be used with no additional configuration. Other system may need emulated network cards (e1000) to function properly.