I had the same frustration and solved it this way...

within the cookie window:

select your optout cookies and add to whitelist (there are instructions for this in Cookie's help window if needed). uncheck boxes for the 1,000,000 cookies sort by favorites: click the favorites column header aka and you'll see checked+unchecked boxes toggle up/down as you click.

henceforth Cookie will remove all non-favorites as usual but ignore the whitelisted cookies!

two things: first, this is not an ideal situation but solves your problem as described.
second (and most important!!) you've probably had the opt-out domains favorited for a while- it's likely that those folders have numerous non opt-out cookies within; you REALLY don't want to whitelist those

If you have questions as to how to discern between opt-out cookies and the other cookies, reply and I'll attempt to explain. Many have "opt" or "0-cookie" in their name. If you're wondering why a domain you opted out of is still adding cookies, cringe a little and read everything below my signature.

Alright, that's my mostly imperfect "help". Cookie is an exceptional application and can be tamed enough for your situation. Many thanks to Russell- you've created something splendid !

-ashred in portland, OR

[u]Okay guys and gals- here's some further info for you on tracking:[/u]

I revamped my privacy setup (and deleted all optout cookies) after reading a lengthy publication on identity tracking a few months ago. I think it was MIT...or a group in Germany...oi! I'll track it down if anyone wants to read it.
Basically, the more clutter you have attached to your browser the more identifiable you are. The optouts are numerous, hence "trackable" (your plug-ins, extensions, and many other bits of data contribute substantially too).

You can avoid half the mess with a combination of Cookie and a few browser extensions; Little Snitch can be a great add-on too.

To start, check out the brilliant and VERY brief for links and info- it's well worth it!

My recommendatios are similar to theirs: wrangle flash, hide from big tracking companies, and eliminate the unneeded javascript.

Try using a combination of donottrackme from Abine, Mark Hoyois' Clicktoplugin, and Noscript for firefox or Safari javascript blocker from Toggleable. AdBlock plus is handy but page loads can lag (or did for me). Just say no to Ghostery.
Any javascript blocker for your browser will change everything: Cookie shows 1/3 the number of cookies being loaded and Little Snitch rarely says a thing not that it's not fending off a barrage of scripted ads..

Sadly, you need to be a bit tech savvy to run either a javascript blocker or Little Snitch without it turning into a complete hassle. That said, your privacy is worth it!

good luck