If you want to use the new OkHttp 3 CookieJar and get rid of the okhttp-urlconnection dependency you can use this PersistentCookieJar.
You only need to create an instance of PersistentCookieJar and then just pass it to the OkHttp builder:
CookieJar cookieJar =
new PersistentCookieJar(new SetCookieCache(), new SharedPrefsCookiePersistor(context));
OkHttpClient okHttpClient = new OkHttpClient.Builder()
.cookieJar(cookieJar)
.build();