Not really much info I can find on private sessions, but heres a few.
1) Log on on Story Mode 1st. Then go to GTA Online & choose join closed crew session. It should drop you into closed session that we are all in. (you can do step 3 also if you dont mind getting on a public session 1st)
2) If you are the 1st to be in a crew session(nobody else in that session), you can send invites to everyone to join your session.
3) If you know someone is ALWAYS in closed crew session(like me

), you can join his game instead & it will drop you into his instance. Goes without saying that if he happens to be in a public session, you will be dropped into that public game(Not sure how to check beforehand tho)
4) After a match/game, if we all choose to go free roam, we will be kicked onto a public session EXCEPT for host. So, we have to go join his session again.
All info from console versions but should be applicable to us.