sessions without cookies

I have some space on the web that gives me JSP/servlet capability via 
enhydra.  My web host has provided a way that I can start and stop the 
"java server" and a directory tree off of my main web root directory 
that is "java enabled".   This is running Enhydra 3.1 running on 
BlackDown.org's Java 2 (1.3.1) SDK.

This all works reasonably well and I have used it to good advantage.  

My one problem that I would like to overcome is that some users don't 
like the idea of having to enable cookies.  They have read somewhere 
that cookies are evil and fill up your disk with useless info and let 
"them" spy on you or some such.  As I understand it Enhydra, like other 
application servers, use cookies to maintain the session.  Is there a 
way that I can configure Enhydra (I think that I can change the web.xml) 
to maintain the state in the URL (i.e., without cookies ?).

If not can you think of any "easy" way to save session state between 
transactions.  I am doing it now by sending great gobs of data back and 
forth on each transaction, it would be much faster (and easier for me) 
to let Enhydra take care of the session.

Kind regards,

Mike !