How-To user Auth

I'm playing around with the Auth class. It works perfectly well when used on a single page, but I don't get the idea on how to use it on all pages of a site. First I though the Auth object would be put into the session to be reusable, but that is not true, there is only the authentication information. So it looks like I have to build the Auth object again and again on all pages. Should I create some file to be included with all pages? Or do I just miss the point? Alexander