Sure.
All you have to do is mark:
[OperationContract(IsInitiating=false, IsTerminating=true)]
public void CloseSession()
{
}
And session is gone...
You can also set method that's allowed to create session:
OperationContract(IsInitiating=true, IsTerminating=false)]
public void StartSession()
{
}
Use google for more info. :)