Dynamic usability with cookies

Hey guys. I’ve been flashing it up for a while now however when it comes to actionscript, I can pretty much do the basic navigation and timeline controls and thats it. I want to give users of my website the ability to turn off the music and change background colors, and SAVE their preferences using cookies.
My question is this:
Have any of you done this, and how hard would it be? I am just trying to wrap my head around it all. One thing I am consideing is making the audio player a seperate loading .swf Can it be done so that people can press on or off and then save their settings in a cookie?