right way to have role based custom auth query database on every request asp.net mvc

This may be a slightly ignorant question but Im new to mvc so Im sorry!

I studied the nerd dinner auth model but In my app I have a complicated role based authentication. So What I do is this:

 void MvcApplication_PostAuthenticateRequest(object sender, EventArgs e)
        {
            HttpCookie authCookie = HttpContext.Current.Request
               .Cookies[FormsAuthentication.FormsCookieName];
            if (authCookie != null)
            {
                string encTicket = authCookie.Value;
                if (!String.IsNullOrEmpty(encTicket))
                {
                    FormsAuthenticationTicket ticket = 
                            FormsAuthentication.Decrypt(encTicket);
                    CustomIdentity id = new CustomIdentity(ticket.Name);
                    GenericPrincipal prin = new GenericPrincipal(id, id.Roles);
                    HttpContext.Current.User = prin;
                }
            }
        }

On LogOn I authentication the username/pass with FormsAuth and then I create the cookie.

The problem here is every time I create the custom identity, I have to query the database for the users roles. Is there a correct way around this or am I doing the right thing to query the DB on every incoming request? Should I save the roles list in a cookie or something?

I also don't really understand the whole life cycle of how forms auth takes care of the authentication? I use the same IFormsAuthentication design pattern that nerd dinner users and during a sign-in I call FormsAuth.SignIn() which in turn calls FormsAuthentication.SetAuthCookie, When does it manage to call the membershipservice.validateuser() method ?? Also if the auth cookie has been set why would nerd dinner create a ticket, then add it into the request, and then read it during PostAuthenticationRequest to check which user it was. Does the ticket operation like a session?

Thanks! Merry Christmas!

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Update : This link gave me a slightly better understanding about forms authentication ticket.

An alternative approach is to store your user's roles in the authentication ticket when your user is authenticated. Then for every request (Application_AuthenticateRequest method of the global.asax file) you can extract the roles from the authentication ticket and create a GenericPrincipal.

See this answer for more details.