At the clientside, WordPress using Javascript to work in the front end.  Obviously you can use jQuery as well.

Writing Cookies
writeCookie = function(cname, cvalue, days) {
    var dt, expires;
    dt = new Date();
    dt.setTime(dt.getTime()+(days*24*60*60*1000));
    expires = “; expires=”+dt.toGMTString();
   document.cookie = cname+”=”+cvalue+expires+’; domain=bluelily.com.au’;
}

Reading Cookies
function readCookie(name) {
     var nameEQ = name + “=”;
     var ca = document.cookie.split(‘;’);
     for(var i=0;i < ca.length;i++) {
        var c = ca[i];
        while (c.charAt(0)==’ ‘) c = c.substring(1,c.length);
        if (c.indexOf(nameEQ) == 0) return c.substring(nameEQ.length,c.length);
       }
return null;
}

Deleting Cookies
setCookie(name, “”, null , null , null, 1);