как-то так:

import requests, json

session = requests.session()
session.get('https://httpbin.org/cookies/set/my-cookie/my-value')
print(session.get('https://httpbin.org/cookies').json())

with open('cookies.json', 'w') as f:
    json.dump(requests.utils.dict_from_cookiejar(session.cookies), f)

session = requests.session()
print(session.get('https://httpbin.org/cookies').json())

with open('cookies.json') as f:
    session.cookies.update(json.load(f))

print(session.get('https://httpbin.org/cookies').json())

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REST API Design Rulebook
Designing Consistent RESTful Web Service Interfaces
By Mark Masse
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