There is a lot of great content for building XNA-based games for Windows Phone over at http://create.msdn.com/en-us/education/gamedevelopment
Also, check out the full catalog of Educational content at http://create.msdn.com/en-US/education/catalog/
. You can filter the "Dev Content" area by various game development areas. You'll find a number of Hands-on labs that take you from File|New Project to completed game (Ex. Catapult Wars). There's also content there that spans building XNA games for Xbox and Windows as well.