Cookie information is dynamic for each thread, so I think it already does what you want:
If you have an HTTP Request and the response contains a cookie, the Cookie Manager automatically stores that cookie and will use it for all future requests to that particular web site. Each JMeter thread has its own "cookie storage area". So, if you are testing a web site that uses a cookie for storing session information, each JMeter thread will have its own session. Note that such cookies do not appear on the Cookie Manager display, but they can be seen using the View Results Tree Listener.
http://jmeter.apache.org/usermanual/component_reference.html#HTTP_Cookie_Manager