Does Gatling have some kind of built in support for cookie handling?
Or does these need to be correlated manually?
I think I have red this somewhere in this user group but I cannot find it when searching.
Yes, Gatling automatically handles cookies: http://gatling.io/docs/2.0.3/http/http_protocol.html#http-protocol
You can also craft them manually: http://gatling.io/docs/2.0.3/http/http_helpers.html#dealing-with-cookies