For WCF, you should use "Add Service Reference" in Visual Studio, or svcutil.exe
on the command line.
You can either add the reference from a running service (and then it needs to be hosted somewhere, yes), or you can extract the metadata (the WSDL that describes the service operations and the XSD that describe the message structures; again, using svcutil.exe) to files and create your client side proxy from those files.
If you only want to test the actual service implementation (without the WCF plumbing in between), you could of course also just add a normal reference to the assembly where your service implementation lives (which you hopefully isolated into a class library!), instantiate the service class, and call the methods on it. Depends on what you really want to test here...
Marc