Hi Miguel,
A Session object is created for every request, but this doesn't result
in any extra data being stored or any cookie data being sent to the
client if you don't change the Session object.
The overhead for creating the Session object is tiny (even if session
data is present in cookies sent to the server, it is lazily loaded
when you actually access the session - not when it is created) so I
wouldn't worry about the Session object being created (in memory) for
each request.
~ David