Yes. It is exactly the same, only instead of instantiating and starting your host in the Main() you'd instantiate and start it in Form_Load or a button click event, or however you choose to start it. It's no different whatsoever.
Just create a WinForms app and copy your code from the console app.
As responses come in, write to a Label or a TextBox instead of Console.WriteLine() if you want to see the messages at they come in.
The only caveat is that likely the service host will be running on a different thread than the Form UI, so you'll need to know about the InvokeRequired property of the TextBox, Label, or other controls or you'll get errors when you try to write to the control from the other thread.
Invoke Required property: http://msdn.microsoft.com/en-us/library/system.windows.forms.control.invokerequired.aspx
How to make thread-safe calls to Windows Forms controls: http://msdn.microsoft.com/en-us/library/ms171728.aspx