You should not be loosing sessions after using Response.Redirect.
On the other hand, you should not expect to see sessions if you are redirecting from one website to another or from one IIS application to another.
A possible gotcha: Note that redirecting user from http://domain.com to http://www.domain.com also means that you will loose session. Well, you do not actually loose them; session variables initiated on http://domain.com will still be accessible from http://domain.com if at some point you send the user back from http://www.domain.com to http://domain.com (provided that the session has not timed out).