If you use Linux default sessions in php are stored at

/var/lib/php/sessions/

and you want change this settings, create in your server folder sessions like this

/var/www/sessions/

Set permissions

chown -R www-data:www-data /var/www/sessions
chmod 777 /var/www/sessions

Note: www-data it`s your nginx user, you can check it in file

/etc/php5/fpm/pool.d/www.conf

Now edit php.ini and set path to your new sessions folder

session.save_path = "/var/www/sessions/"

Restart php-fpm

service php5-fpm restart