Remove cookies? Why and how often?

The only reason to remove Cookies is if your concerned about being tracked and your privacy. It's futile to keep removing Cookies from sites you frequently visit.

In your browser settings, you should set the cookie preferences to block cookies from third parties and advertisers. In Safari you do that in Preferences/Privacy.

In Safari you can also set Preferences/Privacy to ask websites not to track me

If you delete the apple.com cookie, you will need to constantly sign into iTunes because the apple.com cookie contains the iTunes username and password.