Copied from jmeter documentation:
The last element is a HTTP Cookie
Manager . A Cookie Manager should be
added to all web tests – otherwise
JMeter will ignore cookies. By adding
it at the Thread Group level, we
ensure that all HTTP requests will
share the same cookies.
From chapter “4.2.2 Logic Controllers” in http://jmeter.apache.org/usermanual/test_plan.html.
EDIT: I guess you should use http://jmeter.apache.org/usermanual/component_reference.html#Simple_Controller to group your requests together with Cookie Manager.