You need to be sure the session data are safe. By looking at your php.ini or using phpinfo() you can find you session settings. _session.save_path_ tells you where they are saved.
Check the permission of the folder and of its parents. It shouldn't be public (/tmp) or be accessible by other websites on your shared server.
Assuming you still want to use php session, You can set php to use an other folder by changing _session.save_path_ or save the data in the database by changing _session.save_handler_ .
You might be able to set _session.save_path_ in your php.ini (some providers allow it) or for apache + mod_php, in a .htaccess file in your site root folder:
php_value session.save_path "/home/example.com/html/session"
. You can also set it at run time with _session_save_path()_ .
Check Chris Shiflett's tutorial or Zend_Session_SaveHandler_DbTable to set and alternative session handler.