Not really as big of a deal as you might expect. For one, you can see all your current logins by using a 'w' command. Unlike Windows, Unix has no problems if you're logged in on 100 different sessions or if you're logged just into 1. It takes little resources.
Second, you can also view all your past logins using the 'last' command, so that you can audit your own logins to insure nobody's trying to log in as you. I'd suggest creating a script to parse out the 'last' output looking for IPs/hosts you're not coming from.