Sorry for the late reply.
The solution I chose was to use a service reference and add the headers to the web.config like this:
<system.serviceModel>
<bindings>
<basicHttpBinding>
<binding name="APIServiceBinding" />
</basicHttpBinding>
</bindings>
<client>
<endpoint address="http://api.sendcockpit.com/server.php" binding="basicHttpBinding"
bindingConfiguration="APIServiceBinding" contract="Newsletter.APIServicePortType"
name="OrdersPort" >
<headers>
<validate>
<apikey>[yourAPIKey]</apikey>
<userid>[yourUserId]</userid>
<version>1.0</version>
<mode>live</mode>
</validate>
</headers>
</endpoint>
</client>
<serviceHostingEnvironment aspNetCompatibilityEnabled="true"/>
</system.serviceModel>