Zope has built-in sessions support, has had since 2.5.0. However, in the best Zope tradition, the documentation has been a bit spotty, and I was experiencing some major frustration because of this. Someone else on #zope was just asking about this too.
Not to worry: there is, this time, documentation. You just have to find it. The correct solution is the Zope Book, 2.6 Edition, under development. It's not easy to find; I found it via a mailing list archive where there was a link to it, and after that located the link at Zope.org.