Well you're right, REST is stateless. If you use a session the processing will become stateful, subsequent requests will be able to use state (from a session).
In order for a session to be rehydrated, you'll need to supply a key to associate the state. In a normal asp.net application that key is supplied by using a cookie (cookie-sessions) or url parameter (cookieless sessions).
If you need a session forget rest, sessions are irrelevant in REST based designs. If you need a session for validation then use a token or authorise by IP addresses.