Hey,
I haven't used WCF for a while now, though I do plan on using it for the next major project I'm starting. I think I was just creating one SqlConnection object in my WCF service and each call used that same SqlConnection. Not sure if that is the best way to do it but I think that's what I was doing when I used it before. As for locking records, I think I just used SyncLock (because if I remember rightly each WCF call comes in on its own thread, but dont quote me on that...) to lock parts of my code where I needed to update more than one database record in one go so that other calls had to wait for that to complete before they could access/modify the data.
Sorry I cant be a bit more specific..