How are you starting the new SAS session?
If you type the command sas at the command line then normally it should use the current directory you were at when you started SAS. That is how SAS has worked for me for the past 30 years. And it is still how it works in our current GRID environment (assuming the current directory is actually available on the GRID node selected for SAS to run on).
If you are launching the session in some other way (perhaps you are using Enterprise Guide or SAS/Studio) then the individual user does not have much control. Is that why you posted the question under Admin and Deploy?