How to start session globally?

My suggestion: don't worry about loading the session globally. First - that means that if the session isn't needed it isn't loaded which can be good for performance and some security things, IIRC. Second - whenever you first call the service, or use the the service() helper method, the session will be automatically initialized and ready for use.

Code:

// These all ensure session is initialized:
$session = \Config\Services::Session();
session('key');
session()->get('key');
session()->set('key', $value);

Thank you for your reply.
A common requirement is check if user is logged in or not. That check is on most of the pages to do even simplest task e.g. to show login or logout button. That is what triggered to learn about the best practices.