It is a good idea to maintain a web-scraping session to persist the cookies and other parameters. Additionally, it can result into a performance improvement because requests.Session reuses the underlying TCP connection to a host:

import requests

with requests.Session() as session:
    # all requests through session now have User-Agent header set
    session.headers = {'User-Agent': 'Mozilla/5.0 (Macintosh; Intel Mac OS X 10_11_4) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/51.0.2704.103 Safari/537.36'}

    # set cookies
    session.get('<http://httpbin.org/cookies/set?key=value>')

    # get cookies
    response = session.get('<http://httpbin.org/cookies>')
    print(response.text)