With recent versions of Web API, async, and IHttpActionResult, we can now simply do this:

public async Task<IHttpActionResult> MyMethod(... myParameters ...)
{
    ...
    var cookie = new CookieHeaderValue("myCookie", "myValue");
    ...

    var resp = new HttpResponseMessage();
    resp.StatusCode = HttpStatusCode.OK;
    resp.Headers.AddCookies(new[] { cookie });
    return ResponseMessage(resp);
}