You should be able to extract that cookie header (which I think is just a string) and then set it as a variable.
I would have three variables to storing the cookies. One each for customer, admin and merchant to avoid any confusion.
You then use these variables in the appropriate requests.
You could potentially add a pre-request script on each request and use sendRequest to login and get the Cookie instead of having a full on request in the GUI for this. (Get it working in the GUI first, but this might be a consideration to cut down on the number of requests).