If you use a session bean as a facade for your entity beans you still need a value object to pass data to and from your session bean and the client. The facade pattern is very useful to reduce round trips to the server. I suggest you to read EJB Design Patterns on theserverside.com
From a design point of view, you should normally abstract the client code from the server code via a Proxy object. You can then specify the location of the EJB at deployment time to be either local or remote. Following this logic you need to design to cater for both scenarios, which means you should seriously consider using the Value Object pattern.
Hope this helps,