They are transferred in the HTTP header of both user requests and server responses, and are stored by the browser. The browser is expected to store the cookie so that when it makes subsequent requests of the server it can send the cookie name and value. NetCloak gives you the ability to create cookies, and it even makes them easy.
Cookies have lots of uses, and are actually a lot like user variables.
In some cases, local variables may be better because they can be tracked even when a browser doesn't support them and the data doesn't need to be constantly resent by the browser. On the other hand, cookies have the capability of sharing information among multiple servers, or between different add-on tools on the same server. Cookies are also more reliable when users may be coming through proxy servers or have dynamic IP addresses. Even if you prefer to use user variables, cookies can be used to help NetCloak track the variables. For users dialing in using shared modem pools or proxy servers, cookies give NetCloak a reliable way to track the user variable data.