Yes you can still do wireless pen-testing in VMs. Same as without a VM, you need to have a compatible wireless adapter with the compatible chipset (there are multiple forums here on this exact topic). I am setting up a dual boot right now because of the processing power. I want to be able to more accurately control how kali utilizes my processors instead of vmware managing them. Also I have read that ARP spoofing software like ettercap works better outside of a virtual environment, and if you think about it, it just might be true as there isn't that extra layer of translation to go through.
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