You need to use HttpContext. Set cookie store to context and pass context long with HttpGet/HttpPost in execute method. Hope this should help.
See example: Complete code can be found here
// Create a local instance of cookie store
CookieStore cookieStore = new BasicCookieStore();
// Create local HTTP context
HttpContext localContext = new BasicHttpContext();
// Bind custom cookie store to the local context
localContext.setAttribute(ClientContext.COOKIE_STORE, cookieStore);
HttpGet httpget = new HttpGet("http://www.google.com/");
System.out.println("executing request " + httpget.getURI());
// Pass local context as a parameter
HttpResponse response = httpclient.execute(httpget, localContext);