Cookies and Sessions: What's the Best Recipe?

I have a member site that uses sessions. People who have their browser cookies turned off, however, cannot use our site. I read somewhere that to avoid this, I'd have to manually append the PHPSESSID var to every URL when redirecting in a script. Is this really the best or only way to avoid this problem? Or, is it simply unavoidable? Right now, I tell users that the site will only work with browsers that have cookies turned on, but, I'd rather the site was accessible to all. However, I also don't like passing session IDs via the URL because of the security risk. Any suggestions?? Monty