Security - Avoiding Session Hijacking?

I recently read an article on making ASP.NET sessions more secure here and at first it seems really useful.

Previously I had been storing the user's IP address in the session, then making sure in every subsequent request that the requesting IP was equal to the stored IP.

The code in the article also protects the session by checking the IP address, except it stores a hashed message authentication code containing the user's IP as part of the session cookie. It creates a hashed MAC twice every request, which I imagine would slow things down a little.

I can already see a potential flaw in their code: if you were to somehow get a hold of the key used to generate the MAC, you could then generate a valid MAC with your own IP - you wouldn't even have to fake the IP the session was started on.

It seems like an overly-complex solution to a simple problem which not only incurs a larger overhead but also is more susceptible to attack than the trivial method - unless I'm completely missing the point.

So, why would this approach be any more secure than the more simple approach that I had been using?

As a slight aside, the author also states that you shouldn't use the whole IP address in the comparison, as some user's IPs change every request if they are behind a proxy. Is this still the case if you check X_FORWARDED_FOR?