It's here:
Options -> Other -> Enable Ctrl+D/Ctrl+Shift+D Support
where Ctrl+Shift+D is the keyboard shortcut for bookmark all tabs in Firefox.
But, instead of bookmarking into Google Bookmarks, the dialog presented is to bookmark in the normal Firefox Bookmarks.
For now I'm doing:
1. Press Ctrl+D
2. Take advantage of auto-complete tags of GMarks to type the tags
3. Copy all tags text to clipboard
4. With google toolbar "bookmark all function" paste the clipboard and leave just one tag
5. Repeat step 4 until all tags have been added to all tabs opened
It works, but it would save a lot of time if the bookmark all of GMarks was working.