For those using Firefox through FF4.0B11 which is the latest they can install the addon “Better Privacy”. It has a whole bunch of options with respect to handling cookies.

If you run FF in “Private Browsing” mode website cookies installed when visiting the website will not be retained once you exit the website.

I don’t use “Privacy Browsing” but instead use the addon “Better Privacy” because I like to retain my browsing history.

http://support.mozilla.com/en-US/kb/private%20browsing