We have a whole bunch of DLLs that give us access to our database and other applications and services.
We\'ve wrapped these DLLs with a thin WCF service layer which our
It depends on what the thin WCF service does. If it's really thin and there's no interesting code there, don't bother unit testing it. Don't be afraid to not unit test something if there's no real code there. If the test cannot be at least one level simpler then the code under the test, don't bother. If the code is dumb, the test will also be dumb. You don't want to have more dumb code to maintain.
If you can have tests that go all the way to the db then great! It's even better. It's not a "true unit test?" Not a problem at all.