PipelineUtil.CloneMessageContext()

BizTalk Tip of the Day: If you're writing a custom BizTalk Pipeline Component (particularly a receive one), and you're creating a new message from scratch to return from your component, don't forget to copy the original message context into your new one.

And the right way to do this is using the CloneMessageContext() method of the PipelineUtil helper class included with BizTalk. Rolling your own and doing it incorrectly can result in really weird errors later on.