Someone correct me if I'm wrong since I'm not familiar with the inner workings of PHP, but I believe the session is loaded when you start the session. The session data is read from disk and the data stored in the necessary variables. As far as disk reading goes, thats it. You can call on those variables as many times as you like since they're in memory. Either on session close or the end of the PHP processing, the session file will get rewritten with the new session data.
If you have gobs of data, then maybe storing it in a database would make more sense. Or if you needed portability between systems and sessions (say an ASP based site and PHP site needed access to the session data).
I'd say the ultimate test would be to try both approaches and use microtime() and see which is quicker. I'd think session reading would be pretty quick since it doesn't need to interrogate a database server.