Hi Kostadin,
While there are more reasons to use secure conversation than simply performance boost, it would be the main reason why you would want to use it. The following article can answer questions you have towards secure conversation.
http://msdn2.microsoft.com/en-us/library/ms996470.aspx
The article was written towards WSE 2, but the concept of secure conversation still applies. To turn on securre conversation, you will have to set establishSecurityContext=true in your policy file. The enableSession knob you are refereing to are applied in different context from secure conversation. The enableSession=true makes the service generates a cookie whenever a request comes from a client and sends it back with the request, and thus achieves the stateful web service experience you are looking for. Secure conversation is applied to the communication between client and service.
Hope this helps,
Daniel
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