It'll be handled automatically by your http client (you don't need to set it manually).
Server should respond with Set-Cookie header (not with cookie), then client will save that cookie, and send it on next requests.
Setting a cookie
Cookies are set using the HTTP Set-Cookie header, sent in an HTTP response. This header instructs the browser to store the cookie and send it back in future requests to the server (the browser will, of course, ignore this header if it does not support cookies or has disabled cookies).
As an example, the browser sends its first request to the homepage of the www.example.org website:
GET /index.html HTTP/1.1
Host: www.example.org
...
The server responds with two Set-Cookie headers:
HTTP/1.0 200 OK
Content-type: text/html
Set-Cookie: theme=light
Set-Cookie: sessionToken=abc123; Expires=Wed, 09 Jun 2021 10:18:14 GMT
...
The server's HTTP response contains the contents of the website's homepage. But it also instructs the browser to set two cookies. The first, "theme", is considered to be a "session" cookie, since it does not have an Expires or Max-Age attribute. Session cookies are typically deleted by the browser when the browser closes. The second, "sessionToken" contains an "Expires" attribute, which instructs the browser to delete the cookie at a specific date and time.
Next, the browser sends another request to visit the spec.html page on the website. This request contains a Cookie header, which contains the two cookies that the server instructed the browser to set.
GET /spec.html HTTP/1.1
Host: www.example.org
Cookie: theme=light; sessionToken=abc123
...
This way, the server knows that this request is related to the previous one. The server would answer by sending the requested page, and possibly adding other cookies as well using the Set-Cookie header.
The value of a cookie can be modified by the server by including a Set-Cookie header in response to a page request. The browser then replaces the old value with the new value.
The value of a cookie may consist of any printable ASCII character (! through ~, unicode \u0021through \u007E) excluding , and ; and excluding whitespace. The name of a cookie excludes the same characters, as well as =, since that is the delimiter between the name and value. The cookie standard RFC 2965 is more limiting but not implemented by browsers.
The term "cookie crumb" is sometimes used to refer to a cookie's name-value pair.
Cookies can also be set by scripting languages such as JavaScript that run within the browser. In JavaScript, the object document.cookie is used for this purpose. For example, the instruction document.cookie = "temperature=20" creates a cookie of name "temperature" and value "20".
See wikipedia page