To enable the persistent cookies in lynx, one needs to edit lynx.cfg on different GNU / Linux and BSD* distributions lynx.cfg is located in different directory.
Most of the lynx.cfg usual locations are /etc/lynx/lynx.cfg or /etc/lynx.cfg as of time of writting this post in Debian Squeeze GNU / Linux the lynx.cfg is located in /etc/lynx-cur/lynx.cfg, whether for FreeBSD / NetBSD / OpenBSD users the file is located in /usr/local/etc/lynx.cfg
What I did to allow all cookies is open lynx.cfg in vim edit and change the following lines:
uncomment it to:
c) next, change
Onwards opening any website with lynx auto-accepts the cookies.