Maybe using cookielib.CookieJar can help you. For instance when posting to a page containing a form:
import urllib2
import urllib
from cookielib import CookieJar
cj = CookieJar()
opener = urllib2.build_opener(urllib2.HTTPCookieProcessor(cj))
# input-type values from the html form
formdata = { "username" : username, "password": password, "form-id" : "1234" }
data_encoded = urllib.urlencode(formdata)
response = opener.open("https://page.com/login.php", data_encoded)
content = response.read()
EDIT:
After Piotr's comment I'll elaborate a bit. From the docs:
The CookieJar class stores HTTP cookies. It extracts cookies from HTTP requests, and returns them in HTTP responses. CookieJar instances automatically expire contained cookies when necessary. Subclasses are also responsible for storing and retrieving cookies from a file or database.
So whatever requests you make with your CookieJar instance, all cookies will be handled automagically. Kinda like your browser does :)
I can only speak from my own experience and my 99% use-case for cookies is to receive a cookie and then need to send it with all subsequent requests in that session. The code above handles just that, and it does so transparently.