One other note to add here- you didn't really elude to the type of service you were planning on creating. IMO there is no question to use WCF if you are starting from scratch. Here is a good magazine article on WCF Authorization:
Authorization In WCF-Based Services:
http://msdn.microsoft.com/en-us/magazine/cc948343.aspx
I have used both .asmx web services with WSE 3.0 and WCF, and I need to point out that using WSE 3.0 is not the way to go if starting new. The reason is that WSE will not be further enhanced by Microsoft and is viewed as becoming obsolete in route to the more robust WCF services and the associated securtiy model.
In fact, if you are using VS.NET 2008, WSE 3.0 does not even directly integrate. There are work arounds I have used to get it integrated but they are incosistient in success of working in my experience. So the best advice, move to WCF if possible.