gistfile1.php

<?php

class YourAwesomeAuthenticationTokenHandler {
	protected $correct_null_user = false;

	public function __construct() {
		add_filter( 'auth_cookie_malformed', array( $this, 'check_authentication_token' ) );
		add_filter( 'set_current_user',      array( $this, 'correct_null_user' ) );
	}

	/**
	 * Check the authentication token from the request
	 *
	 * This is where you set the current user based on HTTP headers, CLI
	 * parameters, or whatever else you can think of
	 *
	 * Make sure to also set the $correct_null_user property
	 */
	public function check_authentication_token() {
		// Get your user ID!
		// $user = check_awesome()

		wp_set_current_user($user);
		self::$correct_null_user = $user;
	}

	/**
	 * Undo the `wp_set_current_user( 0 )` from `get_currentuserinfo()`
	 *
	 * Changes the user back to the one we set in `check_authentication_token()`
	 */
	public function correct_null_user() {
		global $current_user;
		if ( ! self::$correct_null_user || $current_user->ID !== 0 ) {
			return;
		}

		$real_user = self::$correct_null_user;

		// Ensure we don't get stuck in an infinite loop here
		self::$correct_null_user = false;

		wp_set_current_user( $real_user );
	}
}

Note ''set_current_user'' is an action not a filter

Line 8:
-       add_filter( 'set_current_user',      array( $this, 'correct_null_user' ) );
+       add_action( 'set_current_user',      array( $this, 'correct_null_user' ) );

I realize this gist is a workaround for a fixed bug though, https://core.trac.wordpress.org/ticket/26706 see http://journal.ryanmccue.info/311/custom-auth-tokens/