Carlos, one of my teammates responsible for WCF support in Silverlight, just posted a code sample showing how to do file downloads from Silverlight using a WCF service. The key here is that it uses HTTP chunking (or streaming) on a single response to return the file. This is something that get asked on the forum all the time.

Check it out on Carlos’ blog:
http://blogs.msdn.com/b/carlosfigueira/archive/2010/07/08/using-transfermode-streamedresponse-to-download-files-in-silverlight-4.aspx

-Yavor Georgiev
Program Manager, WCF