How to set globally cookie header

You can create a application session from the UI and use cookies that save the session. Get the session cookie details from the browser using the developer tools of the browser. The image shows Pega where the cookies are available in the browser :

In soapUI create a header attribute with the same value you obtained from the browser and run the request. The request will use the same session id(JSESSIONID) that is saved in the cookie to run the request. The below images shows how to add the cookie value to the header.