In gnome-session-properties you just save the session, or check the box for saving the session every time you log out. If this is what you are saying doesn't work... Then I guess it's not working right (an extremely rare scenario?).
Anyway, if saving the session really doesn't do the job, just write a script. For example, if you want to be editing some c files in some directories with emacs, and playing some music with xmms, opening some pdf file with xpdf, etc. You could write in the script file the following.
Code:
emacs ~/programs/*.c ~/temp/oldprogs*.c
xmms ~/music/favorites/*
xpdf ~/ebooks/somebook.pdf
someotherprogram somedir/somefile(s)
and then with the terminal
Code:
sh script-manyprograms.sh