I copy the most important, frequently used details from the my User entity into the session. For values which aren't commonly used, I just fetch these as needed (uncommon).
You have an interesting point about static files being served on the same domain that you're setting your session cookies on. The easiest way around this is to serve static files from a separate subdomain. You should be able to do this with no problem on app engine (just hook up an additional, separate domain for the static files, and make sure all your references to these files use this subdomain).
~ David