Setting session variables then setting cookies with the data from the sessions breaks the whole concept of sessions and as people have said, potentially causes a security issue.

For a load balanced server setup you may be interested in using the DB to store session information with:
session_set_save_handler


That way the sessions are no longer stored on the server but in the DB (which should be central and available to all boxes) therefore they exist to all servers on the load balancer (in theory)

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mysql> SELECT * FROM `users` WHERE `users`.`clue` > 0;
Empty set (0.00 sec)