Updated answer for Swift 3
You want to look at HTTPCookieStorage.
// First
let jar = HTTPCookieStorage.shared
let cookieHeaderField = ["Set-Cookie": "key=value"] // Or ["Set-Cookie": "key=value, key2=value2"] for multiple cookies
let cookies = HTTPCookie.cookies(withResponseHeaderFields: cookieHeaderField, for: url)
jar.setCookies(cookies, for: url, mainDocumentURL: url)
// Then
var request = URLRequest(url: url)
Original answer for swift 2
You want to look at NSHTTPCookieStorage.
// First
let jar = NSHTTPCookieStorage.sharedHTTPCookieStorage()
let cookieHeaderField = ["Set-Cookie": "key=value"] // Or ["Set-Cookie": "key=value, key2=value2"] for multiple cookies
let cookies = NSHTTPCookie.cookiesWithResponseHeaderFields(cookieHeaderField, forURL: url)
jar.setCookies(cookies, forURL: url, mainDocumentURL: url)
// Then
let request = NSMutableURLRequest(URL: url)