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
I wrote this a while back when I was using Client Application Services to authenticate against web services. It uses a message inspector to insert the cookie header. There is a word file with documentation and a demo project. Although its not exactly what you are doing, its pretty close. You can download it from here.