You seem to be mixing various concepts. It's cool you don't want to have an anemic domain model but that has nothing to do with your DTOs which in turn has nothing to do with how the classes from WSDL look like.
A DTO has state but no behavior. Hence, they have only getters/setters but contain no logic (e.g. validation).
The objects in the domain model have state and behavior (unless they're anemic of course).
So, if there's a need for DTOs, which depends on your architecture, you'd be converting business objects from the domain model to DTOs and vice versa. If you consider the classes generated from your WSDL DTOs which would be ok then you need to convert those to your business objects. "Converting" in this respect means transferring their state.