Just use normal JDBC /Bean managed persistence from the session bean. You'll need to set up a DataSource for your database (look in the online docs) and then just use JNDI to look up your datasource. It'll give you pooled connections.
I am having a problem setting up a connection pool. Can you point out what section etc you are refering to for the online doc? I am trying to connect to Oracle, but I am having difficulties tieing together the xxx-services.xml file with the ejb-jar.xml and jboss.xml files. Any help is appreciated.
Are you using JBoss 3.0 or JBoss 2.4+?
For JBoss 3.0, I browsed the old volunteer documentation, which had been updated for version 3.0, which has gone now (annoying).
For JBoss 2.4+, I would recommend the paid-for manuals. But there is some free documentation on the documentation page http://www.jboss.org/docs/