Setting up the project in Visual Studio 2010 is very straight forward: Click File –> New –> Project, select Cloud, provide a Name and click OK.
Next select the type of Role you want to create. For hosting both a Silverlight client and WCF services, choose ASP.NET Web Role.
Once the Azure project is created, add a new project to the solution of type Silverlight Application.
The Silverlight application will inform you that it is going to link to the Web Role project. This is exactly what you want. Just click OK.
Your Solution Explorer should look something like this: