Victor,

Web service calls are just like web page calls and are inheritly stateless
in nature.  If you're connecting with a thick client, you should look at
saving your state there and NOT persisting it on the web server itself.
Using sessions, in general, will reduce scaleability and also cause problems
for the users when their sessions timeout.  For example, what happens when
the user is in a multi-step process and walks away from their machine for 30
minutes, causing the session to timeout?

I would suggest that you look into an alternative method other than storing
session state information and trying to persist data over multiple calls to
the web service.  Sending xml strings with the data that you need is a great
way to send in large amounts of information.

Since I tend to follow that practice and have never used sessions with web
services, I can't give you much advice on actually using sessions with
WebServices. :)

Good Luck,

Robert