No. Just once will do fine.
Basically you are telling your browser to look for a session (PhP will handle how and where variables are stored, no need to worry about that).
Probably easiest to doa little trial for yourself:
Create a new page, with only
<?php
session_start();
$_SESSION['page'] = 'test';
?>
<a href="page2.php">next</a>
in it.
Then in page2 you just put:
<?php
print_r($_SESSION);
?>
And see what you get.
After playing with that a bit, you have a better understanding, and do not need to mess with your current setup.