I am doing some work writing a PHP-based SOAP client application that uses the SOAP libraries native to PHP5. I need to send a an HTTP cookie and an additional HTTP header
The SoapClient::__soapCall method has an $input_headers argument, which takes an array of SoapHeaders.
$input_headers
You could also use Zend Framework's SOAP client, which provides an addSoapInputHeader convenience method.
addSoapInputHeader