I'm not really sure what exactly your requirements for those classes, but here are some thoughts anyway.
First, you may want to ask if they can't just be "normal" classes in src/groovy
. I say "normal" here in the sense that they may just encapsulate some data and behavior, and you are responsible to create instances of them and call the methods appropriately when needed.
But, if you want to tie some data and behavior to the user session (as you seem to, because you asked for session dependent domain classes), you may want to use a Grails Service with session scope. When you do that, Grails will use a different instance of the service for each session of your application, and reuse the same instance for the same session until it ends.
You may also use a bit of each thing, using one service with session scope and have other classes representing the data that you pass around from the controllers to the service and vice-versa. These could actually be Command Objects if you needed validation and data binding, for example.