It is bridge over wireless nic alright. All you need to do is to edit the file /etc/vmware/locations to reflect the ethx of your wireless device by replacing whatever is currently there. So if you use eth0 as your main bridging device, change all occurences to ethx (of your wireless nic), restart vmware services i.e. /etc/init.d/vmware restart and it should work. At least it did for me Ubuntu 5.10 with VMware workstation 5.

I have more instructions here http://www.eibrand.net/blog

Hope it helps