I did this by writing a batch file.
The approach was 1) Create proxy classes for A.wsdl using SVCUtil
2) Compile them to .dll files
3) Create proxy classes for B.wsdl referencing to the dll file created in #2 using SVCUtil.
Below are the lines of code:
"Your_Windows_SDK_Path\Bin\SvcUtil.exe" A.wsdl /language:C# /out:A.cs
"Your_Windows_.NetFramework_Path\csc.exe" /target:library /out:myreferences.dll A.cs
"Your_Windows_SDK_Path\Bin\SvcUtil.exe" B.wsdl /r:myreferences.dll /language:C# /out:B.cs /mergeconfig /config:output.config
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