>Whenever I update a Web Service project, I then recompile but the WSDL files are not updated. Does that mean I have to run the WSDL generator everytime I make a change in my project?

You can check the box in the Web Service Builder options dialog that will have the wsdl rebuilt every time you compile. Be aware that this is acheived by attaching a project hook to your project that does the work, and if your project already uses a project hook, the new one will not be assigned (last I looked anyway).