control over http headers using clumsy:
MyWebServiceClient client = new MyWebServiceClient();
using ( new OperationContextScope( client.InnerChannel ) )
{
HttpRequestMessageProperty request = new HttpRequestMessageProperty();
request.Headers["Cookie"] = "cookie header value";
OperationContext.Current.OutgoingMessageProperties[
HttpRequestMessageProperty.Name] = request;
client.InvokeSomeMethod();
}