What do you want to do with your cookie? If you want to track information on the server from request-to-request, you probably want to use a session, which automatically uses cookies.
Otherwise, go ahead and use setcookie for cookies that your application needs for other functionality. Pay attention to this snippet from the PHP manual:
setcookie() defines a cookie to be
sent along with the rest of the HTTP
headers. Like other headers, cookies
must be sent before any output from
your script (this is a protocol
restriction). This requires that you
place calls to this function prior to
any output, including and
tags as well as any whitespace.
