Assuming that your users are using a VPN software client on their local machine which then sends wireless to their router and then on to your company, there is not much more risk than if it were a hard-wired connection. The client on their local machine encrypts all the data prior to it going "over the air" to the wireless router. The only additional risk would be if someone could intercept the tunnel setup and act as a man-in-the-middle of the connection. I would not consider that a significant risk. I would want to ensure that the VPN is using strong cryptography and that it is always enabled, so that you are certain that the casual sniffer is not going to capture username and password pairs.
For more information on this topic, visit these other SearchSecurity.com resources:
Best Web Links: Virtual Private Networks
Best Web Links: Wireless Security Issues