1 - Have all of your servers be on the same domain *.mydomain.com.
2 - Build a shared directory and put your session files in there.
3 - Have all of your servers use this shared directory as there location for session data.
4 - Make sure your session cookies are being set as domain cookies and not server specific cookies.
Or:
1 - Build you own session handler to put session data into the database.
2 - Have all of your servers use this database for session information.
3 - Make sure the cookies you set are domain cookies.
4 - Again make sure all of your servers on on the same domain.
Note:
I haven't done this, but I've thought about it alot since this question pops up every week or so. If you do this and it works let me know, or better yet write up an article on what you did including code and submit it so others can view it and benefit from your experience.