Thats what I wanted to confirm was that you cannot pass a cookie without print the page to the browser. I will have to re-think a bit of my logic I think.
As for putting all of my pages in one script, I dont think that is a good idea. I have about 6 forms that are going to be apart of an application, each form is a different "stage". I want to be able to save to the database after each step. So putting all of my HTML in one hat isn't really an option.