First thing you do is step back, and think about how critical is performance for this application. Do you really need to proccess messages concurrently? Is it mission critical? Or do you just think that you need it? Have you run a profiler on your service to find the real bottlenecks of the procces and optimized those?
The reason I ask, is be cause you mention you want 8 concurrent procceses - however, if you make this app single threaded, it will greatly reduce the complexity & developement & testing time... And since you only want 8, it almost seems not worth it...
Secondly, since you can only proccess concurrent messages on the same entity - how often will you really get concurrent requests from your client to procces the same entity? Is it worth adding so many layers of complexity for a use case that might not come up very often?
I would KISS. I'd use MSMQ via WCF, and keep my WCF service as a singleton. Now you have the power, ordered reliability of MSMQ and you are now meeting your actual requirements. Then I'd test it at high load with realistic data, and run a profiler to find bottlenecks if i found it was too slow. Only then would I go through all the extra trouble of building a much more complex app to manage concurrency for only specific use cases...
One design to consider is creating a central 'gate keeper' or 'service bus' service who receives all the messages from the clients, and then passes these messages down to the actual worker service(s). When he gets a request, he then finds if another one of his clients are already proccessing a message for the same entity - if so, he sends it to that same service he sent the other message to. This way you can proccess the same messages for a given entity concurrently and nothing more... And you have ease of seamless scalability... However, I would only do this if I absolutely had to and it was proved out via profiling and testing, and not because 'we think we needed it' (see YAGNI principal :))