One word: NOT !
Services should be stateless whenever possible - this makes life easier.
If you need to maintain state between calls, put it in a resistance container, for example. database and provide an identifier under which it can be found for the next call.
Mark
If you really have to keep the session ( really? ), Think about it twice - even better: three times) - then WCF offers session calls to specific bindings (protocols).
basicHttpBinding , which is closest to ASMX web services for one, does not support sessions. You need to use wsHttpBinding for Internet oriented applications, or netTcpBinding for intranet oriented internal services.
Read MSDN docs when using sessions with WCF.
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