Yes, you can, but only within a certain range of ports (4502-4534), and only if you can also place the corresponding cross-domain access policy file on port 943 on the same server. You already have an MSDN link - here is an example application (for SL2, but should look similar in 3):
[Clicking Data for the Silverlight Socket Client Part 1] [1]
Look for Dan's blog for a โsocketโ, and you can find part 2 and how to create a policy server - SO will not let me post more than 1 link :(
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