That is why people use REST our days :) and not SOAP approach.
// Create SOAP Connection
SOAPConnectionFactory soapConnectionFactory = SOAPConnectionFactory.newInstance();
SOAPConnection soapConnection = soapConnectionFactory.createConnection();
// connect to webserivce
SOAPMessage soapResponse = soapConnection.call(connect(username, password), url);
// read cookie from response and use it when send another requests
MimeHeaders session = soapResponse.getMimeHeaders();
String sesisonCookie = session.getHeader("Set-Cookie")[0];
SOAPMessage soapResponse2 = soapConnection.call(customerGetAll(sesisonCookie), url);
soapConnection.close();
Here is how we add cookie to soap request
SOAPBody soapBody = envelope.getBody();
SOAPElement soapBodyElem = soapBody.addChildElement("Customer_GetAll", "m");
soapMessage.getMimeHeaders().addHeader("Cookie", sesisonCookie);
soapMessage.saveChanges();