I believe for that step domain sharding removes the cookies. I'll have to post back after I look it up a bit more.
YSlow recommends:
To work around this problem, make sure that static components are requested with cookie-free requests by creating a subdomain and hosting them there.
If your domain is
www.example.org, you can host your static components on static.example.org. However, if you've already set cookies on the top-level domain example.org as opposed to
www.example.org, then all the requests to static.example.org will include those cookies.
In this case, you can buy a whole new domain, host your static components there, and keep this domain cookie-free.
Yahoo! uses yimg.com, YouTube uses ytimg.com, Amazon uses images-amazon.com and so on.
http://developer.yahoo.com/performan...ml#cookie_free