Using Windows Azure to use as a TCP server

Now I look at Windows Azure and wonder if it is possible to implement a TCP / IP server using working roles, i.e. when the request enters the socket - the worker role (and not the web role) will accept it, process it well and then return the response to the same socket request.

Another question: should I do this or just implement my own non-blocking server using .NET and put it in one working role or virtual machine?

Thank!