I have found that Mozilla is very useful for tracking the setting and sending of cookies. All you need to do is turn on the 'Ask me before setting cookies' option in the privacy settings and you get an informational dialog each time that a cookie is set. You can then use the cookie manager to inspect the cookies that have been set.

You may also want to dump the HTTP headers that your app received as HTML comments while you are building and debugging your app. Using Data::Dumper on your cgi object(or other objects) is also useful.