I have written a Silverlight 2 application communicating with a WCF service (BasicHttpBinding). The site hosting the Silverlight content is protected using a ASP.NET Members
On the client modify your tag for the service (inside ) to include: allowCookies="true"
The app should now persist the cookie and use it. You'll note that IsLoggedIn now returns true after you log in -- it returns false if you're not allowing cookies.