There are some specifics for load testing in Test Studio in regards your query and I will be happy to discuss these with you.
At first here is a short note about the cookies - basically, the cookies are some small files stored on the local disc and used by the browser when revisiting a certain page. Load testing in Test Studio, however, is actually not using a browser session and thus, is not using these cookies, that may have been stored on a computer. \
Here is how Test Studio load test is dealing with the cookies - these should be set as dynamic targets. That means, you will need to review the user profile and locate the first request, which has the session id cookie in its response. Then, you can create a custom target for each next request that uses the session id cookie with source that first request's response and destination cookie with the particular name.
I hope this information will be helpful for you. Though, in case you have any further questions, please, do not hesitate to get back to me.
Thank you for your cooperation in advance.