Hi Josta,
If you mean a single-sign-on service for a variety of web based applications, that's pretty much what dex is made to do out of the box - take a read through the various guides, and give it a try.
If you're talking about something more ambitious, like using Dex to authenticate access to things like your laptop, then it's more complicated and it's not something I've spent much time trying to figure out.
Right now the only database that dex supports is Postgres, so as long as you have a postgres DB set up that is routable from wherever dex is you're good to go.
Not sure what sessions and tokens you are talking about, but dex will do the necessary bookeeping for keeping track of your OIDC (oauth2) sessions and refresh tokens.
Right now the authentication methods that are available are email/password and delegating to another OIDC provider (eg. Google)
Hope that helps!
Bobby