It sounds like you have this utility cfc in a shared directory and you are calling it directly. As you've noticed, the problem with that is that you end up with multiple sessions. You can get around this issue be setting up a Facade cfc within your application and make your ajax calls to that cfc.
If you only want to expose the setSessionVariables
then you could use this cfc:
<cfcomponent output="no">
<cffunction name="setSessionVariables" access="remote" returntype="any">
<cfset var xUtility = createObject('component','mod_example.components.exampleCFCs.xUtility')>
<cfreturn xUtility.setSessionVariables(argumentCollection=ARGUMENTS)>
</cffunction>
</cfcomponent>
If you want to expose all methods of the utility cfc, then you can extend it:
<cfcomponent output="no" extends="mod_example.components.exampleCFCs.xUtility">
</cfcomponent>
This would allow you to call methods on the utility cfc while maintaining a single session scope (per user of course).
EDIT: Been a while since i've worked in wheels...but i remember not liking AJAX in the wheels framework. If you create a new subfolder and call it 'remoting' and put the facade in there, and drop an application.cfc in there that looks like this:
<cfcomponent >
<cfset this.name = 'whatever_your_wheels_app_name_is'>
<cfset this.SessionManagement=true>
</cfcomponent>
You should be able to use that facade and this application.cfc will piggyback on the existing application with the same name. The problem with this approach would be if the application times out, and a remote call is the first request to the application, then the wheels application scope might not get set up properly.
It would be best if you could extend the root application.cfc and just override the onRequestStart
method so that the framework will ignore the request. To do that you would need to make a mapping in the cfadmin to the root of your project and use this for your remoting/application.cfc
<cfcomponent extends="mappingName.Application">
<cffunction name="onRequestStart">
<cfargument name="requestname" required="true" />
<cfset structDelete(this,'onRequest')>
<cfset structDelete(this,'onRequestEnd')>
<cfset structDelete(VARIABLES,'onRequest')>
<cfset structDelete(VARIABLES,'onRequestEnd')>
<cfreturn true>
</cffunction>
</cfcomponent>
The way that wheels uses `cfinclude' all over the place, you may need to look at this post about extending the appliciation: http://techblog.troyweb.com/index.php/2011/09/cfwheels-workarounds-numero-uno-application-proxy/
There are some wheels plugins (http://cfwheels.org/docs/1-1/chapter/wheels-ajax-and-you) that allow you to use the controller actions / views / routes via ajax so you could look into those also.