For WebDynpro you can use either the Web or SAP-Web protocols in URL mode. There is significant correlation required - we have had some success in writing correlation rules in LR but some manual correlation will probably be necessary. Some values you will probably encounter that require correlation include
dsmguid (important to correlate to properly terminate a session)
possibly others (Portal-related, etc)
Some of these will take different values for different screens in a single script, so you may be carrying more than one instance of each within your script.
There is some info in SAP Note 842237 on LR/WD as well. We are just starting with this ourselves but this is a summary of what we've found. Hope this is helpful.