Camino locks its Cookies database, so Cookie isn't actually able to read it till after Camino quits. (which is too late, if you have Cookie configured to clear on browser quit - effectively removing all Camino's cookies....)
what you need to do, is Disable Cookie, and navigate around a little in Camino, then close Camino. Cookie will now have access to Camino's cookies, which you can then select favourites.
Alternatively, you can set Global favourites which Cookie will respect and save for Camino.