The simplest way is, as you mentioned in your answer, to use connection_hdl as a key for an associative container that stores any other data you need. WebSocket++ does have some other options for cases where that sort of lookup would be too costly.
Since this is a common question, I've written up some more formal examples & documentation on how to do this here: http://www.zaphoyd.com/websocketpp/manual/common-patterns/storing-connection-specificsession-information.