Sorry for late response. Actually what you want is well supported by nGrinder.
You can set the headers and send the content in the body by passing them into the third parameter of POST method.
http://grinder.sourceforge.net/g3/script-javadoc/net/grinder/plugin/http/HTTPRequest.html#POST(java.lang.String, byte[], HTTPClient.NVPair[])
And.. the cookie will be automatically handled if the cookie is issued from the controller and you made the subsequent call using same HTTPRequest.
Do you need to specify the cookie which is not issued from server?