I have to set up a "WCF Service" to connect a Window Form Application with an Azure Cloud Account; talking about the security, it could be recommended to use the WCF Service for create the Shared Access Signatures and pass the "uri key" to the Windows Form Application? Are there better ways to do this thing ?
The easiest way to allow someone to access and manage your Azure Storage Account without sharing account key with them is indeed by using Shared Access Signature.
With the recent announcement of Account Level and Service Level SAS, there are many more operations a user can now do with SAS which were previously not possible.
There's another way though however it is not that straight forward. This makes use of Azure AD and Azure Key Vault Service. You can read more about it here: http://www.dushyantgill.com/blog/2015/04/26/say-goodbye-to-key-management-manage-access-to-azure-storage-data-using-azure-ad/.