I would probably build an ASMX service instead of WCF because WCF tends to be more complex on the server and by default produces WSDL that's not consumable by all clients (especially old ones). It creates multiple WSDL imports that are not supported by many SOAP clients (fixed in .NET 4.5 as a query string flag which is non-obvious)).
Then you also need to make sure you allow for STA components. Here's more info on that:
http://www.west-wind.com/weblog/posts/2012/Sep/18/Creating-STA-COM-compatible-ASPNET-Applications
You can set this up for both ASMX and WCF based services.
.NET is multi-threaded so you can run multiple simultaneous requests, just like the SOAP ISAPI handler does. I would not recommned sharing the FoxPro COM object - there are thread marshaling issues that will make this very slow. Just create the instance for each Web Service request individually as atomically as possible and let the VFP runtime's STA management deal with spinning up simultaneous shared instances. This is the same as the SOAP handler does - it doesn't cache instances.
+++ Rick ---
from Maui, Hawaii