If you wish to share cookies between servers (even if they're physically the same system, but use different host names), you'll need to set the cookies in a domain that all of the hosts share. If you don't control all of the systems in your domain, you can place them in a subdomain (assuming you have access to DNS in your domain).

For example, I can take two systems, in domain.tld, and give each one a CNAME in shared.domain.tld, so I can then set cookies to be shared between the two systems in .shared.domain.tld (note the initial period). Of course, if someone follows a link that does not refer to the machines as being in the shared subdomain, the cookies won't be sent from the browser. (which can be useful to set both shared and unshared cookies, but you can mess it up very, very easily, if you're not careful.