At the beginning, the program asked me to check off bookmarked sites that I use often. I call these the whitelist. These are the sites whose cookies I want to keep because I don't want re-enter my passwords every time I turn on my computer. So far, I'm having to re-enter some of the ones I thought were being kept.
There are different kinds of cookies. Take Google as an example. There are many Google cookies, but only one of them is for your Gmail password. That's the one you want to keep. There's a tutorial at the Cookie site that explains this.
The sites you call your whitelist are your Favorites. (Your whitelist is accessed by command-O, but it's a bit quirky about appearing.)
The ones that disappear
may be session cookies which are automatically cleared by Safari when it's quit, and to which Cookie has no access to either save or delete. (Here's a test: Disable Cookie's timer [if you use it] and visit one of those sites; if its cookies appear in your Cookie pane, checked as favorites, and disappear later there's a problem, but if they don't appear at all, they're session cookies.)
Whitelisting is for cookies like your Gmail password cookie when it's the only Google cookie you want to save.
What I do is take a screenshot of my cookie pane before performing an action whose cookie I want to save and and whitelisting whatever's new afterwards. (Note that you must disable Cookie's timer [if you use it] while you're engaged in the process or it will infuriatingly clear the ones with which you're working while you're trying to work with them.)
