When you save a session, LispWorks performs the following three steps:
If a saved session is run later, then it will redo the last step above, but see What is saved and what is not saved for restrictions.
Sessions are stored on disk as LispWorks images, by default within your personal application support folder (the exact directory varies between operating systems).
LispWorks IDE User Guide (Macintosh version) - 12 Feb 2015