Tor won't keep cookies by default because the browser is set to always use the firefox private browsing mode.
You can change that by typing about:preferences#privacy in your URL bar and unchecking "Always use private browsing mode";
Most people use Tor because they browse during work times at the office, so you can't afford leaving traces cookies or anything outside the RAM.
In any case, just wanted to check in to say that the situation has gotten much better.
We've either had a new batch of Tor nodes that aren't banned by gstatic.com or whatever website related to Google captcha, or theymos has done some tweaking, but im seeing way less banned nodes and I can usually get the captcha to show up after 2 or 3 attempts.