There is a section in sysinstall (the FreeBSD installer) that allows you to select Packages to install off the CD(s). You can select KDE or GNOME or whatever DE/WM you want from there, and have it installed.
However, you will still need to manually configure X after booting into the OS the first time.
Personally, I prefer to just install the bare minimum OS using sysinstall, and boot into the OS. Then use the tools that come with the OS (pkg_add, ports tree) to install software.