Thanks for the pointer, it hasn't fully answered my question, but it might have pointed me in the right direction.
There is no mention of server memory running out in the PHP.net session page or the session_set_save_handler() function description. They describe saving session data into a database, but what I am concerned about is the size of memory usage by each visitor while thier session is active.
I couldn't find much (any) reference to this. There must be limits if 1000 concurrent users are all logged on, and all have thier session variables loaded/active. Has anyone come across this problem before?