pixie13 is correct they are low risk
Think of when you log into a site/sweeps - if you block their cookie, they can't recognize you/your info. That's it - that's their function.
I have FF set to clear cookies/temp files when I close it & I manually do so in IE after I sweep/surf out of habit - but it also allows my guys to enter after me without being told they already entered because they still have me as logged in.