Добавляем Cookies

procedure TwebDispatcher.WebAction(Sender: TObject; Request: TWebRequest; 
  Response: TWebResponse; var Handled: Boolean);
begin
  with (Response.Cookies.Add) do
  begin
    name := 'TESTNAME';
    Value := 'TESTVALUE';
    Secure := False;
    Expires := Now;
    Response.Cookies.WebResponse.SendResponse;
  end;
end;