My opinion is that it's ok to set a datasession as long as you never have to set it back. I agree with Chuck that it's better not to have to set it and if you can architect the system to avoid changing the datasession, you are better off.
The main problem with setting a datasession is that if any controls are bound to data in the former datasession, they will become completely lost (ie detached from the data) and there is no way to rebind them.
Regards, Chaim