Normally when you have sessions stored in Memcache/d there will still be a record of the session written to mdl_sessions. The session data is not written to the database, it's only written to the memcache/d server itself. The performance gain is seen because the session data is not written every page view for every user, and thus the table rows are not continually being locked and unlocked.
But, to check, this is how we do it. Add the following to config.php:
$CFG->dbsessions = false;
$CFG->session_handler_class = '\core\session\memcache';
$CFG->session_memcache_save_path = '192.168.1.2:11211, 192.168.1.3:11211';
$CFG->session_memcache_prefix = 'mdl.sess.key';
$CFG->session_memcache_acquire_lock_timeout = 120;
$CFG->session_memcache_lock_expire = 7200;
We're using the 'memcache' PHP module:
$ php -m | grep mem
If you're using the php 'memcached' module, and consequently \core\session\memcached Moodle class, the variables to set above are likely different.