True. That's pretty much what I'm going to go with. Add a snippet to check their session, and kick them out if they're not logged into my system.
if(!session_id())
session_start();
if($_SESSION['loggedin'] != true)
header("Location: http://www.mydomain.com/");
Or something along those lines.
I was concerned that session_start() would conflict with WordPress, but as it turns out WordPress itself doesn't use sessions at all! The only area that may cause a conflict is in the case of plugins that utilize sessions, but there's ways to prevent problems there using WP hooks.
Thanks for your input, pixelsoul.