using sessions...

I somehow can't get it to work.
I switched on 'Use sessid'
I then call
- system.connect
- user.login with the session id out of system.connect
- some other function
System.connect returns a session id and an anonymous user, but the session_id doesnt show up in the database.
The login returns a valid user
however, in the next function I call afterwards global $user is anonymous again.

Did I miss something? How do I authenticate within my service?