Chris,
I don't have any specific knowledge of how this stuff is loaded in memory on a server but from experience here's what I've seen...
When you call a web service for the 1st time it is a little slow. After that performance pickes up significantly. This is due to the loading of the web services into memory and them staying there.
When I do new builds of
www.foxforum.com the 1st load is a little slow after that perf is good.
As for state tracking. I use the state tracking mechanisms from my UI/HTML tier. We use the ASP.NET state service for one of my sites. It works well for us. I stay away of keeping state in my web services. I do think you can do this but I have stayed away from that.
A good resource for this type of question is Rick Strahl. Maybe he'll chime in here.
Rodman
Rod Paddock
Editor in Chief CoDe Magazine
President Dash Point Software, Inc.
VP Red Matrix Technologies,Inc.