We have several websites on different domains and I\'d like to be able to track users\' movements on these sites.
You do not give any context to your situation -just the basic problem. So it is difficult to give an answer that clearly fits. However, here are some techniques/mechanisms for passing information from one page to another, regardless of what domain is involved.
Which techniques really come down to whether you can place software on all of the sites (servers) that the user will visit where you have interest - or you cannot place your software on all of them.