Works for me, see example below
#+BEGIN_SRC python :results output :session foo

x=100
print "hello"
2
print "bye"
#+END_SRC

#+RESULTS:
: 
: >>> hello
: 2
: bye

#+BEGIN_SRC python :results output :session foo

print "hello good bye"
print "Printing value from previous session", x
#+END_SRC

#+RESULTS:
: 
: hello good bye
: Printing value from previous session 100

The only difference is that I like to give my session a name and for
what it is worth I am using ipython (don't think this will make a difference). 
You can do this including the
following statement in your .emacs file

(setq python-shell-interpreter "ipython")
(setq python-shell-interpreter-args "--pylab")

Hope this help.
Cheers,
M


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