Sessions are a server-side concept - there is no session on the client side.
What normally happens is that the server sets a cookie in the response headers after you log in, and that cookie contains the session ID so that on subsequent requests, the server knows that the client is using that session because it matches up the cookie.
Cookies work automatically on iOS, so you shouldn't have to do anything at all. NSURLRequests have a property HTTPShouldHandleCookies that defaults to YES, so everything should just work by default.
If it's not working (or if you just want to see what's going on), you can gain access to the cookies in iOS using the NSHTTPCookieStorage APIs. Take a look inside the [NSHTTPCookieStorage sharedHTTPCookieStorage], which works a bit like an NSDictionary. That's where the session cookie should be set after you log in.
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