You need to have the HTTP Header object to write out the details to the response object, so you could use the HTMLHeader method of the response object and pass the loHeader object as the fourth paramater:
example from the WebConnect help file

Response.HTMLHeader("Test","Test","",loHeader)

or you could pass the response object as a parameter when you are creating the header object and call the CompleteHeader method on the loHeader object:

loHeader = CREATEOBJECT("wwHTTPHeader", Response)) 
loHeader.DefaultHeader()
lcCookie = loSession.NewSession()
loHeader.AddCookie("wwUser", lcCookie)
loHeader.CompleteHeader()