Sticky sessions are practically required for applications that use HTTP sessions. Moving data around so much is not viable.
In AS7, the default is that sticky sessions are turned on. You can also configure this by attribute sticky-session="true" on mod-cluster-config attribute. See http://docs.jboss.org/mod_cluster/1.2.0/html_single/#java.AS7config
In AS5, you can configure this by editing file mod-cluster.sar/META-INF/mod-cluster-jboss-beans.xml and making sure <property name="stickySession">true</property> is set to use sticky sessions, which is also turned on by default.