When using the Microsoft VPN client to the MX (L2TP over IPSec) the only way is to assign group policies after they have connected once. The group policy can contain firewall rules. The group policy will stick each time they connect.
As mentioned by @ww , AnyConnect lets you define a default group policy, and if you are using RADIUS, you can configure a per user group policy as well.
Now that AnyConnect requires you to buy Cisco AnyConnect licences and be running MX16. The 16.x beta firmware runs really well.
In fact, I prefer 16.x over the current stable 15.44. I personally experience less issues with 16.12 than I do with 15.44 customers