session state in shared hosting environment

I use session very little, and I store only numbers like 500 or 2552.
This is my current settings in the webconfig..


<sessionState cookieless="UseCookies" mode="InProc" timeout="30"/>


I will be using a shared hosting environment. So what are the risk with the above with my hosting choice.
I have read this : http://idunno.org/articles/277.aspx
Suggesting this...

<sessionState mode="SQLServer" sqlConnectionString="data source=server;user id=uid;password=pwd" cookieless="false" timeout="20" />


if did the above,why cant the connection string be the name from here, like MyCon ???

<connectionStrings>
  <add name="MyCon" connectionString="Server=.;D


Whats best for shared hosting world ??



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