If you feel like you need it then use it for the clients that support it and implement a server-side fallback for clients that don't.
An alternative is you can use Flash and Local Shared Objects which can store a lot more information than a cookie, will work in all browsers with Flash (which is pretty much all browsers), and store typed data. You don't have to do the whole app in Flash, you can just write a tiny utility to read/write LSO data. This can be done using straight ActionScript projects without any framework and will give you a tiny 5-15kb swf.
There are two API's you'll primarily need. SharedObject.getLocal() to get access to a LSO and read/write it's data, and ExternalInterface.addCallback which you can use to register an AS3 method as a callback to call your read/write LSO method.
SharedObject
http://help.adobe.com/en_US/FlashPlatform/reference/actionscript/3/flash/net/SharedObject.html?filter_flex=4.1&filter_flashplayer=10.1&filter_air=2
ExternalInterface
http://help.adobe.com/en_US/FlashPlatform/reference/actionscript/3/flash/external/ExternalInterface.html
These links are to Flex references but for this you can just create an ActionScript project with no need for the Flex framework and therefore greatly reduced swf size. There are a number of good IDEs including free open-source ones like FlashDevelop.
FlashDevelop
http://www.flashdevelop.org/
