Cookies not being set on 302 redirects

Hi,
I have a GET request that makes multiple redirect calls (302s). It follows the redirects to the final 200 but it doesn’t save cookies being set by the redirects. Since I’m creating a script to simulate sign in of our app I need these cookies. I’ve searched far and wide and can’t find a solution.
btw, I’m using your windows app not the chrome extension.

Thanks