Maxim Goldin, from the VSTS team, has an excellent post on how to profile Silverlight 4 desktop with VS2010:
http://blogs.msdn.com/mgoldin/archive/2010/04/26/vs2010-silverlight-4-profiling.aspx
Oren Nachman, our rockstar new perf SDET for Silverlight, is also an excellent source for Silverlight profiling tricks.
How do you profile Silverlight on the Phone?