Shouldn't this also parse the cookies set in the initial response (res.get_cookies) and merge them with the provided ones?
Example:
```
GET / HTTP/1.1

HTTP 30x
Location: /start.php
Set-Cookie: asdf=asdf
```

I have seen some (poorly designed) webapps which set a cookie and redirect you afterwards. This will often end in an infinite redirect when no cookie is set.