From http://wordpress.org/support/topic/using-session-in-wordpress

wp-sessions.php

add_action('init', 'myStartSession', 1);
add_action('wp_logout', 'myEndSession');
add_action('wp_login', 'myEndSession');

function myStartSession() {
    if(!session_id()) {
        session_start();
    }
}

function myEndSession() {
    session_destroy ();
}