As Joseph Dalrymple said, adding session_name do slow down a little bit the execution time.
But, what i've observed is that it decreased the fluctuation between requests.
Requests on my script fluctuated between 0,045 and 0,022 seconds. With session_name("myapp"), it goes to 0,050 and 0,045. Not a big deal, but that's a point to note.
For those with problems setting the name, when session.auto_start is set to 1, you need to set the session.name on php.ini!