The session used in Login-Engine & autologin

The Login-Engine uses session to store the user information,if there is
a situation that high concurrent invitation that occurs in that
website,will session be a heavy load?
btw,is there any reference of implementing autologin using cookies?I
found one in
http://www.mattmccray.com/archives/2005/08/26/forget-me-not/,but it uses
session while not cookie, Del.icio.us use cookie to enable autologin,i
think it will not give the burden to website,any references?thanks