I would avoid sending exceptions directly back to the client unless you are okay with that much detail being sent back.
I would recommend using WCF faults to transmit your error message and code (something that can be used to make a decision on the receiver to retry, error out, etc) depending if it is the sender or receiver at fault.
This can be done using FaultCode.CreateReceiverFaultCode and FaultCode.CreateSenderFaultCode.
I'm in the process of going through this right now, but ran into a nasty snag it seems in the WCF fault generated SOAP 1.1 response. If you are interested, you can check out my question about it here:
http://stackoverflow.com/questions/65008/net-wcf-faults-generating-incorrect-soap-11-faultcode-values