In Mozilla and variants, and many other browsers, you can set Cookies to expire at the end of the session. This means that Cookies will be kept for your use, until you close your browser and they are then wiped out. I like that so that I have the benefits of Cookies but not the "long term tracking ability" that Cookies provide some less than above-board sites -- call me paranoid.
Well Safari has no preference to delete Cookies at any specified interval or when closing the browser. It IS easy enough in the preferences to delete them, but you still have to do it manually. However, Safari in its default configuration will store Cookies in the Cookies.plist file, which should be in the ~/Library -> Cookies folder. First remove all your cookies in Safari via the preferences, then do a Get Info on the Cookies.plist file and set it to Locked.
If you have successfully locked the file, in Panther at least, there will be a small locked padlock on the file icon. BINGO! Now Cookies will not be persisted to disk, only stored in memory during Safari's lifetime. You close Safari, Cookies go away!
Make sure that BEFORE you do this you go into Safari's preferences and remove all the cookies.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20031026012426123