I recently spoke to a customer who wanted to know if Silverlight extracts the dlls (from the XAP) and stores them in the temp directories before building the type system in memory. The reason for the question was that they have a monitoring system that looks for patterns of unwanted files (e.g. *dll) and gets rid of them from directories except from the well known directories. When Silverlight downloads XAPs, it takes advantage of the browser cache in storing the packages.
Once a package is located ( through download or from the cache), Silverlight runtime streams the IL code out of the XAP and constructs the assembly in memory. From there, construction of type system is straight forward.
So, as of beta1, Silverlight 2 will not leave any dlls persistently on the disk.