If you haven't seen it, Pablo Cibraro has a lot of informative posts about WSE (and WCF). These include implementations of WS-Federation and WS-Polling among a great number of others, just keep scrolling.
Julie Lerman points out the number #1 cause of performance degradation with WSE: tracing has been on for a while and the trace files have gotten huge. This is always the first thing to check when WSE's performance has become sluggish. Be careful with Tip #2 though, particularly on the server side. ASP.NET explicitly forbids serving the default extensions for trace (.webinfo) and policy (.config) files, changing the extensions to .xml could lead to accidental information disclosure.