Cookie and session management in PDI is not possible in the current steps. The most you can do in PDI using the native steps is pass header information around.
What we did to get around these limitations is to use python and bash scripts which use curl or wget. Those utilities have parameters that allow saving sessions and cookies to disk making them available for subsequent calls. Then we parse the downloaded file (the result of the call) and go from there.
Remember... transformations have steps that can execute in parallel. The only sequencing of activities in an absolute basis come from job steps. So handling timeouts of sessions and all that needs to be done periodically.
Hope that helps.