Keeping user's Information in Custom membership & role provider

I am using to Implement Custom membership provider and role provider for authinticating purpose in Asp.net MVC 4.I followed this blog
http://www.mattwrock.com/post/2009/10/14/Implementing-custom-Membership-Provider-and-Role-Provider-for-Authinticating-ASPNET-MVC-Applications.aspx I need to keep username,userid,user_role & some other information and to check them on each click and page.Some users may have read/write role while other have read only etc etc.

This app is very big app and very sensitive. Now i have these questions.
What is the best to keep these information with me & then check/compare them.
Keep in session and check everywhere? Keep in cookie and check everywhere? Do not need to save,on page load get from db and decide on that time? Is there any other whay to do so?
Also In MVC where do i need to have this check,either this user is authinti ...