WF4 Affinity for Windows Azure and Other NLB Environments

I use Windows Azure and WF4, and my workflow service is hosted in a web role (with N instances). Now my task is to figure out how to make an affinity so that I can send messages to the correct instance of the workflow. To explain this scenario, my workflow (attached) starts with the StartWorkflow receive activity, creates 3 Person and, in parallel, waits for the confirmation of these three people (Receive Activity ConfirmCreation).

Then I started looking for how affinity was done in other NLB environments (mostly looking for information on how this works in Windows Server AppFabric), but I did not find the exact answer. So how is this done in other NLB environments?

My next task is to find out how I could implement a system to handle this proximity to Windows Azure and how much it would cost (in terms of price, time and workload) to see if it is viable or better to work with only one web instance roles while we wait for the WF4 node for Azure AppFabric. The only way I found is to save an instance of the workflow. Are there any other ways to do this?

My third, but not least, task is to figure out how WF4 handles multiple messages received at the same time. In my scenario, this means that it will process if 3 people confirm at the same time, and confirmation messages are received at the same time. Since the most logical answer to this problem seems to be to use a queue, I started looking for information about queues on WF4 and found people talking about MSQM. But what is the WF4 embedded message handler system? Is this handler really a queue or is it another system? How is this concurrency handled?

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