Connecting Sitecore Rocks to Sitecore 9 with Visual Studio 2017 securely

In Sitecore 9 you will not get access to install Hardrock services required by Sitecore Rocks to connect to Sitecore instance.

If you follow the normal process, you get following message when you try to connect

To setup a connection you need authorize access to sitecore/shell/webservice location in web.config by adding a location attribute and allowing only authenticated users.

  
  <location path="sitecore/shell/WebService">

    <system.web>

      <authorization>

        <allow users="*" />

      </authorization>

    </system.web>

  </location>

Typically you will find other posts or suggestions to allow access to anonymous (?) and authenticated (*) users but that is not needed.

You should allow access to this location only for authenticated users

I tried to narrow it down further to allow only for a specific user e.g. to sitecore/admin but that simply throws back the same screen shown above and fiddler indicates that it is throwing the login page which means its not able to authenticate in that attempt.