session control with PHP4 CGI version

I have the PHP3 Apache module and PHP4 cgi version. I want to use session control under the PHP4 cgi - I seem to remember seeing somewhere that session control is not effective under the cgi version of PHP4 - is that true ? If so can anyone suggest where I might start looking to find a session control example that would work better than an internally developed MySQL version (I would simulate cookies with the database so that I didn't have to send them to the client)-or would that approach be ok ? cheers Jim Carey