Three years later, I think this is exactly what you were looking for:
http://doc.scrapy.org/en/latest/topics/downloader-middleware.html#std:reqmeta-cookiejar
Just use something like this in your spider’s start_requests method:
for i, url in enumerate(urls):
yield scrapy.Request("http://www.example.com", meta={'cookiejar': i},
callback=self.parse_page)
And remember that for subsequent requests, you need to explicitly reattach the cookiejar each time:
def parse_page(self, response):
# do some processing
return scrapy.Request("http://www.example.com/otherpage",
meta={'cookiejar': response.meta['cookiejar']},
callback=self.parse_other_page)