Well, if you can live w/out the redirect (i.e. all the scripts live in the same place) then you can try using $cgi->save(FILE) to save the data to disk, then exec() the final script and read the saved file in when creating the new CGI object. As long as nothing was output by the first script, you should be able to work with the cookies ok. I've done similar things, but nothing exactly like this. So it should work, but it may not.. more info never hurts tho.
G'luck
-Syn0