If you have shared storage, then the RDM approach is an option. You can present 3-4TB LUNs/volumes to the ESXi host and then add them to the VM as a physical mode RDM. This approach will allow you to have one volume in Windows to work with and allow large GP volumes in Windows.
You can also do the mutliple VMDK approach and piece those together in Windows, but I personally don't like this approach. The RDM approach is fully supported, and would also allow you represent the NTFS volumes back to other systems, including physical ones.
The one thing to really think about is your backup strategy and how the choice you make here impacts that. For example, physical mode RDMs cannot be placed in snapshot mode. For agented backups, this won't be an issue, but for VM images this complicates things a bit.