In a Terminal use the following command to create a unformated virtual floppy that you can attach to the Virtual Machine's Floppy under Settings > Other Devices > + > Add Floppy...
dd if=/dev/zero of=floppy.flp bs=512 count=2880
Also note, as and example, if you create a Windows Virtual Machine using Easy Install and not actually run the Virtual Machine you can snag the autoinst.flp file from within the Virtual Machine Document Package. It will of course already be formated and contain some files however they can be deleted. You can then delete the Virtual Machine if you created it just to get the autoinst.flp file.
Additionally there is an unattend.flp file with in the VMware Fusion.app Application Bundle at "/Applications/VMware Fusion.app/Contents/Resources/unattend.flp" that you could just copy however you'll have to change permissions on the file once copied. Note: Be sure not to remove the file only copy it. It will be formatted and contain a single zero length file named autounattend.xml which you can delete.
If you want to mount the .flp file under OS X and access it's contents through Finder you'll need to change the .flp extension to or add the .img extension for it to be mountable under OS X.
