question

You can save session data, but when the session is over, the data is gone. (I.e. the blue light goes out.) Given the frequency with which Alexa drops sessions, this isn't good if you want anything to persist at all. I generally recommend you don't bother with session data at all, and invest in your own data store. Use the UserID as an index. If you are running a Java servlet, you can cache the stuff in memory, and periodically write it out to disk if it isn't too large. If you are using Lambda you should look into the Dynamo service Amazon offers. I use that in one of my skills and it performs well enough, and the free tier should pretty much do you for most skills.

I used Dynamo with Lambda as well to persist some data and it was very easy to get working.