What you need is bean managed transactions, which can be achieved by setting @javax.ejb.TransactionManagement(TransactionManagementType.BEAN) on the bean implementation class or using the following in the ejb-jar.xml:
<session>
<ejb-name>...</ejb-name>
...
<transaction-type>Bean</transaction-type>
....
By the way, I would recommend that you try the latest AS 6.1.0 SNAPSHOT http://community.jboss.org/thread/161386 since there was a bug (with a workaround) https://issues.jboss.org/browse/EJBTHREE-2238 in 6.0.0.Final related to Bean managed transactions.