An NHibernate session is meant to be relatively short lived, so its generally not a good idea to keep it active for a longer period. The session caches entities and as more entities are fetched more data is cached, if you don't manage the caching in some way. This leads to a performance degradation.
The NHibernate docs describe ISession like this:
A single-threaded, short-lived object representing a conversation between the application and the persistent store. Wraps an ADO.NET connection. Factory for ITransaction. Holds a mandatory (first-level) cache of persistent objects, used when navigating the object graph or looking up objects by identifier.
I would suggest using a session-per-conversation, i.e. if you have a few db operations that "belong together" you use the same session for those operations, but when those operations are done you close the session.
So, using a new session for each message you process sounds like a good idea.