If you're using NSURLConnection, and the session is cookie based, this would automatically be done. So all you'd need to write would be similar to this

NSMutableURLRequest *request = nil;
request = [NSMutableURLRequest requestWithURL:[NSURL URLWithString:@"http:///login.php"]];

NSString *post = [NSString stringWithFormat:@"username=%@&password=%@", @"<username>", @"<password>"];
NSData *postData = [post dataUsingEncoding:NSASCIIStringEncoding allowLossyConversion:YES];
[request setValue:[NSString stringWithFormat:@"%d", [postData length]] forHTTPHeaderField:@"Content-Length"];
[request setTimeoutInterval: 15];
[request setHTTPMethod:@"POST"];
[request setHTTPBody:postData];

_urlConnection = [[NSURLConnection alloc] initWithRequest:request delegate:self];
[_urlConnection start];

And you would have to implement the NSURLConnectionDelegate methods as well

- (void)connection:(NSURLConnection *)connection didReceiveData:(NSData *)data {
    [_responseData appendData:data];
}

- (void)connection:(NSURLConnection *)connection didFailWithError:(NSError *)error {
    //Oops! handle failure here
}

- (void)connectionDidFinishLoading:(NSURLConnection *)connection {
    if (_statusCode >= 200 && _statusCode < 400) {
            //Things look ok
        NSString *responseString = [[[NSString alloc] initWithData:_responseData] autorelease];
        //Send this to an xml lib and parse
        }

    [_responseData release];
    _responseData = nil;
    [connection autorelease];
}

If you have some other information thats in the headers and which you need to send back with consequent requests, you can read it from the response like this

- (void)connection:(NSURLConnection *)connection didReceiveResponse:(NSURLResponse *)response {
    if ([response isKindOfClass:[NSHTTPURLResponse class]]) {
        NSDictionary *headerFields = [(NSHTTPURLResponse*)response allHeaderFields]; //This would give you all the header fields;
    }
}

And set the header fields for the next request like this

    [request setValue:[NSString stringWithFormat:@"%d", [postData length]] forHTTPHeaderField:@"Content-Length"];

To save information, be it username and/or password or session information you can use NSUserDefaults

    //To save
NSUserDefaults *standardUserDefaults = [NSUserDefaults standardUserDefaults];

if (standardUserDefaults) {
    [standardUserDefaults setObject:@"<username>" forKey:@"username"];
    [standardUserDefaults setObject:@"<pass>" forKey:@"password"];
    [standardUserDefaults synchronize];
}

//To retrieve
NSUserDefaults *standardUserDefaults = [NSUserDefaults standardUserDefaults];
NSString *val = nil;

if (standardUserDefaults) 
    val = [standardUserDefaults objectForKey:@"username"];

Lastly, it would be advisable to build a model to map the xml API with [Eg: a User class with username and password properties].

Google for Apple's docs on MVC.

Hope this helps!

Yeah ASI HTTP Request is derived basically from NSURL class only..u need not worry about HTTP call back.just store those values in plist of use sqlite for complex and huge data storage purpose

Create a "model" object for your program (have a look at the model-view-controller pattern, which is ubiquitous in cocoa), then in your login controller, store username and password in the model; then, from wherever you need access those data, you read them from the model.