I've been using Silverlight with WCF since V2 (working with V4 now), and here's what I've found. In general, it works very well to open one client and just use that one client for all communications. And if you're not using the DuplexHttBinding, it also works fine to do just the opposite, to open a new connection each time and then close it when you're done.
And because of how Microsoft has architected the WCF client in Silverlight, you're not going to see much performance difference between keeping one client open all the time vs. creating a new client with each request. (But if you're creating a new client with each request, make darned sure you're closing it as well.).
You should open your client per call and close it immediately after. If you in doubt browse using IE to a SVC file and look at the example they have there.
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