Caching Specific Questions: Local Cache vs. Reaching out to other Instances

[Warren]

My question is how memcached functions for something like session data. The desired behavior is every client request comes with a cookie which has a session_id. If that session_id is in the cache, then they are good to do what that session can do. My question is as follows:
If I have memcached servers M1, M2 and web servers W1 W2 where M1 and W1 are on the same machine and M2 and W2 are on the same machine. Ideally we would want clients that are using W1 to have their session data stored on M1 and similarly clients that are using W2 to have their session data stored on M2. My question is wether or not this behavior is possible with memcached and/or is it important?