Sessions are based on the domain they are created for. it is not possible to simply save a session at one time for multiple domains and move seamlessly through out them.
one way around this is to create a form on a page on domain A that submits to domain B and sends the session info:
<form name="gotoDomainB" id="gotoDomainB" action="http://www.domainb.com/transfer.php" method="post">
<input type="hidden" name="session1" value="<?php echo(isset($_SESSION['session1'])?$_SESSION['session1']:""); ?>" />
<input type="submit" name=transfer" id="transfer" value="Go To Domain B" />
</form>
then on the http://www.domainb.com/transfer.php page, add code to set the sessions based on the post:
<?php
@session_start();
if($_SERVER['REQUEST_METHOD'] == "POST") {
$_SESSION['session1'] = isset($_POST['session1'])?$_POST['session1']:"";
}
?>