You can delete all cookies safely. Session cookies have a small benefit to you, in that they keep you logged into sites such as this one, so that you don't have to reauthenticate each time you wish to post. Once you've logged off the site, you no longer need the cookie. OTOH, most cookies benefit only the web sites, advertisers, tracking companies, and others who are gathering data about you. If you don't like the fact that these companies are following your every move, building dossiers on you, and selling that info to others, you should delete all cookies regularly.
There are some good cookie management apps and extensions available for Safari, as well as tracker and ad blockers which work in the background (mostly). Regardless, they are easy to use, and mostly freeware, donationware, or shareware.
Then there are persistent cookies. These cookies are able to respawn themselves using data stored on your computer, outside of your browser. These can be very difficult to deal with. You can see them by going to Safari -> Preferences -> Privacy -> Details. Click Remove All, wait a moment, and the persistent cookies will pop back up.