Store cookies in session

Requests do this using  ``extract_cookies_to_jar(self.cookies, request, r.raw)``
[requests/sessions.py#L583-L589](https://github.com/kennethreitz/requests/blob/2fc6e8a894a5378dd16b2653df9ccf875d0bddf8/requests/sessions.py#L583-L589)
But ``raw`` is always ``None`` now #23.  Anyway, ``cookies.update(...)`` works fine.