Currently, authentication information can be passed on the WsQuery used to retrieve the entities, and can also be set directly on the SoapHttpClientProtocol object at a customizable interception point.

On the WsQuery - the Settings property will point to a BasicWsQuerySettings object which contains Credentials and SoapHeader properties.  The documentation on the SoapHeader property gives an example of how to use these objects.

You also have the option of implementing a custom IWsProxyInterceptor for more control over this.  It contains BeforeProxyCreate and AfterProxyCreate methods which you can use to control proxy creation.  Check out the documentation on this interface for more information.