If you want to block Safari from remembering your cookies (and you should if you care about your privacy) you can force Safari from writing cookies to file with following steps:

1) Quit Safari
2) Remove the Cookies-file from /Users/[yourusername]/Library/Cookies. The file is called Cookies.plist
3) Open Safari and visit some random page that uses Cookies
4) Now you should have the Cookies.plist file again in the folder
5) Open the Cookies.plist in Finder “Get Info” and choose “Locked”