In most real world data warehouses (DWs) projects, security aspects are issues that usually rely on DBMS administrators. We argue that the design of security aspects should be considered together with the conceptual modeling of DWs from the early stages of a DW project, and being able to attach user security information to the basic structures of a multidimensional (MD) model (e.g. dimensions, facts, attributes, and so on). In this way, we would be able to generate this information in a semi or automatic way into a target platform and the final DW will better suit user security requirements. In this paper, we will present an extension of the Unified Modeling Language (UML) using a UML profile to represent multidimensional and security aspects of our conceptual modeling. Our approach proposes the use of UML packages in order to group classes together into higher level units creating different levels of abstraction, and therefore, simplifying the final model In this way, when modeling complex and large DWs systems, the designer is not restricted to use flat UML class diagrams. Finally, we will show an example to illustrate the applicability of our proposal.