One thing to note when using WCF and MSMQ in workgroup mode is that there is no SID sent in a security header:

952570 A Message Queuing message does not include the security header when you use WCF to send the message in Workgroup mode

This isn't much of a big deal as the security header is wide open to spoofing anyway by just putting in the SID youself.

With Active Directory Integration you can use authentication. Alternatively you can add the security at the WCF level.