Cookies do work, if you are registered. But flyingcrow is right: Cookies only work for registered users. The light bulbs and keeping track of what you have and have not read only works for those that authenticate to Threads.
Unregistered users always see the lightbulbs as "off" and there is no tracking of what has and has not been read.
For me it's not a problem, I just see it as incentive to register.