(Note: See also the related question Can browsers react to Set-Cookie specified in headers in an XSS jquery.getJSON() request?)
I can\'t seem to set a cookie
Are you running all of your tests through localhost? Are you using IE? If so it will be enforcing its own special brand of security requirements and likely dumping your cookies. Open fiddler and use http://ipv4.fiddler to bypass that.
If that type of trickery is not going on (as it appears you are using FireFox) , it may also be the case that you do need to explicitely set the cookie's domain to be the same as the domain of your JSON request. A browser won't send cookies set for domain A to a request to domain B. I am not 100% sure this is the case though.