The Google App Engine does not provide a native interface for sessions. Whether this is because its developers consider sessions incompatible with the kind of applications for which App Engine is envisioned or they expect any competent develop to roll his own, I'm not sure. Whatever the case, I use the session library provided by gaeutilities.
Appswell Session Demo: http://appswell.appspot.com/demo/sessions
Demo Source: http://code.google.com/p/appswell/source/browse/appspot/appswell/controllers/demo_controller.py
Library Source: http://code.google.com/p/gaeutilities/source/browse/trunk/appengine_utilities/sessions.py