This started as a discussion over on the forums, but I ended up writing a fairly long winded response, and for the sake of the whole internet, I'm going to place it here as well so it doesn't get lost in forum-based obscurity!

The question related to hosting WF as a web service, but not in ASP.NET.  If you expose it as an asmx web service, either by selecting "publish as web service" or by rolling your own asmx web service project, they are going to still be hosted in IIS, but in a different application.

Anyway, my article is located here.