Yes, using cookies is really a good idea. At least I think so. Whether you require them for the use of your application is a design decision however.
Maintaining sessions using a query string parameter is inherently unreliable and a major security risk if you use them for anything authentication/authorisation related, as session IDs easily "leak" via referrers and other mechanisms.
Moreover, session fixation attacks are much easier if you use query strings (or specifically, if you allow query strings to be used, which is why I advocate session.use_only_cookies)
Cookies are convenient and at least a bit more secure.
Of course there are other issues - for example, MSIE's privacy settings deny cookies under some circumstances. The application designer needs to decide whether this is acceptable.
Bear in mind that a great many popular web sites rely on cookies to function correctly, so someone denying cookies across the board already loses a lot of capability.
Mark