I was being somewhat pedantic in my previous reply, I realise they mean tracking cookies and the likes

As for putting session IDs in URLs I would not advise that in any way, that's one unsanitized href away from Google being logged in as and indexing your user's private account data if done badly and a nasty bout of session fixation if done less badly. More information here: https://security.stackexchange.com/a/14094