@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?
@Fox Is there a page with more information on the http redirect checkbox and what it does?
If the server response status implies redirection to another url, for example 302 https://en.wikipedia.org/wiki/HTTP_302 , then the action will load the url from the location header