You can do this, but you do not need to add the connection everytime. The DataSources are a shared and a webserive runs in an application pool like a website. So you do not need to add teh data connection each time. One thing you can do if you are going to use a WebMethod is to just check on the count of the DataSources collection. If it is 0, then add the connection. Otherwise, leave it alone because it has already been setup.<WebMethod()> _
Public Function SampleMethod() As String
'-- Determine if the connection has been established
If MicroFour.StrataFrame.Data.DataBasics.DataSources.Count = 0 Then
DataBasics.DataSources.Add(New SqlDataSourceItem("", "MyConnectionSTring"))
End If
Return "Whatever"
End Function
- or - 
Much Better Solution
You can add a global.asax to your webservice project and add the code once in the Application_Startup method and never worry about it...
Sub Application_Start(ByVal sender As Object, ByVal e As EventArgs)
DataBasics.DataSources.Add(New SqlDataSourceItem("", "MyConnectionSTring"))
End Sub