Ron Jacobs has recently put up a post around how to leverage AppFabric's Auto-Start feature.
The post is here: http://blogs.msdn.com/b/rjacobs/archive/2010/12/09/wcf-and-appfabric-autostart.aspx
Long story short, you need to use a custom service host, and call the code which will perform the caching functionality etc within the ServiceHostFactoryBase.CreateServiceHost method (the factory method which creates the service host).
So this implies, Auto-Start creates the ServiceHost before the first call to the WCF service.
