In summary
How do I acces a WCF service on localhost when hosted in IIS on Azure? Azure does not bind localhost or 127.0.0.1 to my website.
You have to build the endpoint address dynamically.
Step 1: In your ServiceDefinition.csdef you need to declare an Endpoint.
  
    
      
        
           
       
     
    
       
    
       
   
 
Step 2: When you want to call the service
var endpoint = RoleEnvironment.CurrentRoleInstance.InstanceEndpoints["WorkflowService"].IPEndpoint;
var uri = new Uri(string.Format(
    "http://{0}:{1}/MyService.xamlx",
    endpoint.Address,
    endpoint.Port));
var proxy = new ServiceClient(
    new BasicHttpBinding(),
    new EndpointAddress(uri));