I have found a mildly complex solution - it's not perfect but eases the work directly on the VMware Player console.
First you'll have to enable the diag user (priv set diag, useradmin diag unlock, useradmin diag Password). Then do (from within a PuTTY/SSH session!)
and login with the diag user and the password you set.
Now what we are doing is something that can be found in FreeBSD forums and Wikis, setting the keymap in /etc/rc.conf:
sudo -u root vi rc.conf
Now you need some vi knowledge there (can also be found on the net). Use the arrow key down to go below the keyrate line. Press i and type the line:
Press escape, then type:
Exit out of the console and reboot the virtual controller and you should be good to go. Using ls /usr/share/syscons/keymaps you'll see available keymaps like german.iso, swissgerman.iso, swissgerman.iso.acc and others.
What will not work from console are the umlauts - I don't know why. I also tried to put the scrnmap="iso-8859-4_for_vga9" setting into rc.conf to no avail.
At least you won't have troubles with standard commands or setting passwords from now on.
Best part still is PuTTY which should have UTF-8 by default; in PuTTY all keys worked properly from the start. And due to arrow keys and stuff not working in vi from VMware console I had to do the modifications from within a PuTTY session as noted above.