@NotWegant (Sorry for my English).
When you make a GET request in the response, you will have cookies for this URL. Then you will save them. Is this option not working?
@support
face palm I feel like an idiot now. I had it setting the host because it was returning Method not Accepted error. I looked at the traffic again and figured it's the URL of the post/get's changing them, used the correct Host. Thank You, you rock.