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!