I haven’t done much with sessions, but yeah, I do think, they only save the opened documents.
A project would certainly work for this. If you’re using Git, it will auto-detect Git repos as projects, so personally I’ve never actually created such a project file myself (although reading through that documentation, there does seem to be some useful options there). This looks for example like this:
Alternatively, you can also use the File System Browser plugin. That one might be disabled by default, I’m not entirely sure. It gives you a little file-manager-like side panel, with which you can practically navigate through the entire filesystem:
The button I’ve highlighted with the red arrow, might also be hidden by default, but is really useful here, as it allows you to jump to the parent directory of the document you’re currently viewing.