Cookieless sessions do work in MVC2, however, you cannot use POST as the method for the form submit. It only supports the use of GET. Also, all of the action paths on the forms need to be updated to the following pattern:
<form action="<%= Response.ApplyAppPathModifier("/SomeController/SomeAction") %>" method="get">
That will ensure that the session id is automatically passed along. This is the line needed in the web.config file to enable cookieless sessions:
<system.web>
<sessionState cookieless="true" regenerateExpiredSessionId="true"></sessionState>
</system.web>
With those two above changes, everything worked!
If you are interested in a workaround for getting POST to work with Cookieless session and MCV2, I found the following page. Enabling POST in Cookieless ASP.NET This wasn't well suited for my project because I am not able to use JavaScript.