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);