At least with RAW cells common transfection works well. I'm not experienced with primary Mo though. I heard claims that the Dharmacon transfection reagents might work well but never had a chance to try them on primary cells.
But if you plan to do down stream analysis depending on activation stage of the cells thus leaving your cells as immature as possible it is probably a good idea to use a lentiviral system. Turning siRNA into functional shRNA is not so easy but in my hands anything in the pre-miR30 backbone using the OpenBiosystems loop structure works pretty well. You might want to use the human U1 promoter with this to avoid overloading the intrinsic miRNA processing pathway. Make sure you use the U1 correctly, it comes with an transcription initiator box and people tend to miss that ...
You can get good results by using electroporation. This is the protocol I'm using:
2.4 × 106 BM-derived macrophages are resuspended in 320 µl of Opti-MEM and are electroporated (250 V, 950 µF, ∞ Ω) with 60 pmol of siRNA Stealth RNAi from invitrogen.