Cookies should pose no trouble at all.

As Arunbear pointed out, you can still use CGI.pm and CGI::Cookie under mod_perl. There's also Apache::Cookie, which is part of the Apache request library and written in C, but CGI::Cookie still remains the preferred means of cookie manipulation because of its greater popularity (it comes with Perl) and its greater portability (Apache::Cookie, because of its C backend, didn't work on MacOS or Windows for quite a while. It might work on them now, but I'm not sure).

Read the mod_perl porting guide: http://perl.apache.org/docs/1.0/guide/porting.html. It's really not that hard; just initializing your global variables and wraping your scripts in big main() routines.