The Phalcon\Http\Response offers a collection to store and manipulate cookies. You can then send those cookies back with the response.
To set up cookies you will need to instantiate a Phalcon\Http\Response\Cookies object or any object that implements the Phalcon\Http\Response\CookiesInterface.
<?php
use Phalcon\Http\Response;
use Phalcon\Http\Response\Cookies;
$response = new Response();
$cookies = new Cookies();
$response->setCookies($cookies);
To get the cookies set by the user you can use the getCookies() method on the Phalcon\Http\Response object. The method returns a Phalcon\Http\Response\Cookies collection object. You can set the cookies in the response object using the setCookies(), as shown above, and then use sendCookies() to send them back to the caller.