If ALL they're setting is the theme - use the cookie. Someone wants custom themes, they need cookies... OH WELL.
Honestly I think people have been WAY too paranoid about the "evil cookies" because of all the hype, not realizing that 90% of the fun and useful websites out there wouldn't work at ALL without them. PERIOD. Someone wants to be a paranoid tin-foil hat whacko and disable them completely, they get what's coming to them; a crippled Internet where you can't log into ANYTHING...
.... including these forums.
Much of it can be blamed on tech article writers who are experts at writing, not tech -- so they go for the sensational "cookies are evil" hype without even understanding what a cookie is, what good it serves, and how it really causes little if any REAL harm unless again, you're a card carrying member of the tinfoil hat brigade where the government is beaming secret messages to your brain with their evil microwave towers.
As I've told more than one person who THINKS they're tech saavy, taking technical advice from the pages of Forbes is like taking financial advice from Popular Electronics.