I have just seen that Manuel Foerster has started blogging about Windows Workflow Foundation. He has written an article about custom persistence services for windows workflow foundation. (As the default persistence service only works with SQL Server, you might consider writing your own persistence service, if you have to support some other persistence medium and/or database.)
You can read his article about custom persistence services for WWF here.
[1] Custom Workflow Persistence Service[2] http://www.manuelfoerster.net