Lost session in webservice

I use a session in a webservice project. In the webapplication I add refference to that service. Howerver, whenever I call a function in webservice, the session is lost. How can I keep it?
I have found a sollution in http://msdn2.microsoft.com/en-us/library/aa480509.aspx. The problem they describe is what I do. They have a sollution but when I test, it cannot solve, the session is still lost.
As I guess that, each time when I call a webservice method, a webservice page will be created, and after the method complete, the webservice page will be automaticaly closed. So the session is lost.
Because I have tested with a very simple example that:
in webservice i have 2 method:
1. SetSessionValue
2. GetSessionValue
Then in webapplication page, I call them in one function
...