As far as I know, it's not possible yet, but I hope this enhancement will be part of the next release (4.2) [1].
With eZ Publish 4.1 I think there is a workaround as the session mecanism is provided by the eZSession PHP class so it should be possible to define your own eZSession class in an extension and generate the autoload array so that your eZSession class overrides the default one.
