My colleague, David Scruggs, recently did a MSDN Webcast on Integrating TFS and EPM. For those of you who are not with what EPM means from a Microsoft point of view, it stands for Enterprise Project Management and the related products associated with it are Project Professional, Project Server, and Project Portfolio Server. TFS does have some project management capabilities and native hooks into the Microsoft Project Professional, but for a Project Management Office (PMO) that uses Microsoft Project Server and/or Project Portfolio Server, using Project Professional is SOOOO last century.
In the webcast, David covers TFS work item workflow, Project Server workflow, and how to use the TFS-PS Connector to bridge the gap between the servers. The TFS-PS Connector built by several Microsoft employees and is available for free on CodePlex, Microsoft's share source code web site. The source code for the connector is available on the CodePlex site as well as documentation on how to install and use it.
Considering the webcast is only 60 minutes long, David did a great job covering both TFS, EPM, and the connector. I highly recommend you check it out if you're interesting in connecting TFS with Project Server.