Here are more details on this process. To get started you need to prepare your computer with IIS and the appropriate settings for Visual Studio 2010 development. All WCF Workflow Services live in Web "sites" at production time. Visual Studio 2010 Web "projects" use the ASP.NET Development Server at development time. If you want to use IIS/AppFabric at development time you need to use Visual Studio 2010 to create a Web site (not a Web project).
Task 1 - Create Your Web Site in IIS with Visual Studio
If you have installed and configured Windows Server AppFabric correctly you should now have some interesting information about your service available in IIS Manager.
Good walk trough.