After reading about how file based PHP sessions are not the greatest for performance, it has me thinking. Does this mean a PHP script including a lot of files is bad as wel
You should use spl_autoload_register() and OOP. This way, no matter how small your project currently is or how big it will evolve over time (and it would be dumb to exclude this possibility), PHP will only include what it needs, no more, no less.
That's the perfect future-oriented balance between runtime RAM usage, the maintainability of the code and the effects of hard disk latency time, I'd say, provided you're modularizing your code properly, of course (and XDebug helps here).
Having said that, it implies the badness of including unused files.
Inclusion of files, no matter which way (spl_autoload_register() or otherwise), should be done with absolute paths, due to the php.ini directive include_path, which PHP would search through for your files when using relative paths.
And a small extra-note to why "include 'foo.php'" works like "include './foo.php'" (the "normal" way of including files): it's because the directory "." is part of include_path by default.