A Cookie is something like a placeholder for a request’s response. When invoking a request method, you will get a ooxcb.cookie.Cookie subclass instance as return value. If you need the reply, you just call the ooxcb.cookie.Cookie.reply() method and you get a ooxcb.response.Response subclass instance. The request is sent and handled just when you call reply. If you have a request without a response (a void request), you have to call the ..._checked method to be able to check this specific cookie using the ooxcb.cookie.Cookie.check() method.
See http://lists.freedesktop.org/archives/xorg-announce/2006-September/000134.html for a better description of checked and unchecked requests :)