Transfer custom cookies in a community between Lightning and Visualforce with Locker Service enabled.

transfer-session.js

/**
 * Transfer cookies between Lightning (with Locker Service) and Visualforce. Cookies
 * must be set as URL parameters and the "nextURL" parameter must be supplied.
 * Cookies will be set for apex using the apex__ prefix and will be set for
 * Lightning (with Locker Service) using the LSKey[<namespace>] prefix. Note that
 * all cookies will be set as session cookies. If cookies should be given an
 * expiration, the next page you navigate to should adjust the cookie expiration.
 */
(function() {

  /**
   * The namespace for your application. If this is not in a package, set the
   * namespace to "c". Note that this is case sensitive.
   * @type {String}
   */
  var namespace = '<YOUR_NAMESPACE>';

  /**
   * Create a cookie for the given name, value, and expiration in days.
   * @param  {String}   name  The name of the cookie to set.
   * @param  {String}   value The value of the cookie to set.
   * @param  {Integer}  days  The number of days the cookie is good for. If not
   *                            supplied a session cookie will be set.
   */
  function createCookie(name, value, days) {
    var expires;

    if(days) {
      var date = new Date();
      date.setTime(date.getTime() + (days * 24 * 60 * 60 * 1000));
      expires = "; expires=" + date.toGMTString();
    }
    else {
      expires = "";
    }

    // Note: the name would usually be escaped when setting a cookie but
    // Locker Service uses braces in the cookie name.
    document.cookie = name + "=" + escape(value) + expires + "; path=/";
  }

  /**
   * Get the query parameters for the current url as an object.
   * @return {Object}    An object with a key for each query parameter.
   */
  function getQueryParams() {
    var qs = window.location.search.split('+').join(' ');
    var params = {};
    var tokens;
    var re = /[?&]?([^=]+)=([^&]*)/g;

    while((tokens = re.exec(qs)) !== null) {
      params[decodeURIComponent(tokens[1])] = decodeURIComponent(tokens[2]);
    }

    return params;
  }

  /**
   * Set cookies for both Apex and Visualforce for the given name and value.
   * @param {String} name  The cookie name.
   * @param {String} value The cookie value.
   */
  function setCookies(name, value) {
    createCookie(getApexCookieName(name), value, null);
    createCookie(getLightningCookieName(name), value, null);
  }

  /**
   * Get the apex specific cookie name.
   * @param  {String} name The generic cookie name.
   * @return {String}      The name of the cookie as handled in Apex.
   */
  function getApexCookieName(name) {
    return 'apex__' + name;
  }

  /**
   * Get the Lightning (Locker Service) specific cookie name.
   * @param  {String} name The generic cookie name.
   * @return {String}      The name of the cookie as handled in Locker Service.
   */
  function getLightningCookieName(name) {
    return 'LSKey[' + namespace + ']' + name;
  }

  /**
   * Transfer all url parameters to Apex and Lightning (with Locker Service)
   * cookies. This will update window.location to nextURL after all cookies have
   * been set.
   * @throws  An exception if the "nextURL" query parameter is not present on
   * the page.
   */
  function doTransfer() {

    var params = getQueryParams();
    var nextURL = params.nextURL;
    delete params.nextURL;

    if(!nextURL) {
      throw 'No next page found. Please ensure the nextURL parameter is set in the URL. Note that this is case sensitive.';
    }

    for(var key in params) {
      if(params.hasOwnProperty(key)) {
        setCookies(key, params[key]);
      }
    }

    window.location = nextURL;
  }

  // Run the transfer which will redirect the user after updating all
  // cookie values.
  doTransfer();

})();

TransferSession.page

<apex:page showHeader="false" sidebar="false">

  <!-- 
    Replace <your_resource> with the name of the static resource with 
    your application files in it. This assumes that you are using a zipped static
    resource with your javascript files in a 'js/' folder. 
  -->
  <apex:includeScript value="{!URLFOR($Resource.<your_resource>, '/js/transfer-session.js')}" />
</apex:page>