In an OS X 10.8.3 Virtual Machine, it holds for me from the System Preferences... > Network... however you can also use the following command in a Terminal:
Syntax: networksetup -setMTU <hardwareport or device name> <value>
Example: networksetup -setMTU en0 9000
Then check with: networksetup -getMTU <hardwareport or device name>, e.g., networksetup -getMTU en0