I just got done with a long afternoon of implementing a Windows Service to self-host my WCF service. It was a bit trickier than I thought it would be so if I can save you the headache I'll be happy.
A good place to start is by reading these two MSDN articles:
Next, you'll want to understand these support articles:
http://msdn2.microsoft.com/en-us/library/ms733768.aspx (I needed this to get the wsdl stuff working)
http://msdn2.microsoft.com/en-us/library/ms733925.aspx (need to do this before TcpNetBinding will work)
http://msdn2.microsoft.com/en-us/library/ms731758.aspx (an example app hosting WCF)
http://msdn2.microsoft.com/en-us/library/ms750530.aspx (more on self-hosting)