I have set the .ASPXAUTH cookie to be https only but I am not sure how to effectively do the same with the ASP.NET_SessionId.
The entire site uses HTTPS so there is no need for the cookie to work with both http and https.
To add the ; secure
suffix to the Set-Cookie
http header I simply used the <httpCookies>
element in the web.config:
<system.web>
<httpCookies httpOnlyCookies="true" requireSSL="true" />
</system.web>
IMHO much more handy than writing code as in the article of Anubhav Goyal.
See: http://msdn.microsoft.com/en-us/library/ms228262(v=vs.100).aspx