Open the menu from the top-right corner using the icon that looks like three lines. From that drop-down menu, choose Options.
The cookie options are found under the Privacy & Security panel. Locate and access this section using the left-hand menu.
You can choose from three options: standard, strict, or custom. Standard allows all cookies (except for trackers which can follow your behavior outside of the website), Strict has more limitation, while Custom allows you to choose what sort of data to enable (cookies, trackers, etc).
Select the desired settings for how you want Firefox to handle cookies.
To save your changes, just close the options window. Everything you changed will be automatically saved.