How to set Session Cookie ?

Here is how you need to do it.

1. Extract the required value from the response of login request, can be as apart of Script assertion
2. Set it as header for the next request, may be other request which needs to be transacted including logout as you mentioned.

Script Assertion body goes as below (of course, above two are done in this single script only)

/**Below script should be used as script assertion for login request step
* Assumes below
* a. login response contains http header called 'Set-Cookie'
* b. other request needs to send http header called 'Cookie'
* In case if there is any change in able two you may need to change its references below
**/
def responseCookieKey = 'Set-Cookie'
def requestCookieKey = 'Cookie'
def setHttpHeaders(String nextStepName, def headers) {
    def nextRequest = context.testCase.testSteps[nextStepName].httpRequest
    def existingHeaders = nextRequest.requestHeaders
    headers.each {
        existingHeaders[it.key] = it.value
    }
    nextRequest.requestHeaders = existingHeaders
}


if (messageExchange.responseHeaders.containsKey(responseCookieKey)) {
  log.info "Found Cookie in the response headers"
  def cookiez = messageExchange.responseHeaders[responseCookieKey]
  assert null != cookiez, "Response does not contain Cookie"
  def nStepName = context.testCase.testStepList[context.currentStepIndex + 1].name
  def headers = [(requestCookieKey) : (cookiez)]
  setHttpHeaders(nStepName, headers)
} else {
  log.error "Not Found Cookie in the response headers"
}