This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
My recommendation is always to not do stuff in the stateless session bean directly. Add another layer between your EJBs and the DOA layer. Make POJO classes that actually implement you business logic, then have your EJB create an instance of these POJO Service classes and call a method in it. Then in that POJO class is where you create instances of your DAO through a DAOFactory.
This allows the reuse of the service POJO Use Case object for other services that might need the same code, and takes out the need for these other services to do a local or remote lookup of the EJB that has that code. Plus you can test these POJOs outside of the container.