Okay this is old but I ended up here and there is no correct answer, I read the manual and found that you can add the following to your
/etc/lynx.cfg to allow explicit options to be source from a dot file in your home dir.
INCLUDE:~/.lynx.cfg for PERSISTENT_COOKIES COOKIE_FILE
The following description take straight from the config file explains it better that I could
# Starting with Lynx 2.8.2, the INCLUDE facility is yet more powerful. You can
# suppress all but specific settings that will be read from included files.
# This allows sysadmins to provide users the ability to customize lynx with
# options that normally do not affect security, such as COLOR, VIEWER, KEYMAP.
# The syntax is
# INCLUDE:filename for <space-separated-list-of-allowed-settings>