I tried this:

SomeForm.Method()
  local lo
  lo = NewObject('Save_Ds','Save_Ds.prg')
  Set DataSession to SomeOtherDataSession
  .... print a report from SomeOtherDataSession
  release lo
  .... continue some more in Form.DataSession

Save_DS.prg
  Define Class Save_Ds as Custom
    nDS = Set('DataSession')
    Procedure Destroy()
      Set DataSession to this.nDs
    EndProc
  EndDefine

Why doesn't it work?
In the debugger. As soon as the Save_Ds.Destroy() method starts, the DataSession changes from SomeOtherDataSession to the one I want (making the line "Set DataSession to this.nDs" pointless), but as soon as it goes back to SomeForm.Method() the DataSession changes back to SomeOtherDataSessoin.