One thing to note is that you should use Microsoft Visual Studio 2010 Express for Windows Phone 7 rather than the Visual Studio 2010 add-in. There are problems with the add-in, not the least of which is that the option to add a service reference to a Windows Phone Application project is conspicuously missing.
http://developer.windowsphone.com is a good place to get started.
The last update to the CTP was in April. Expect some things to change before RTM still.
