Correct way in new versions of nginx

Turn out my first answer to this question was correct at certain time, but it turned into another pitfall - to stay up to date please check Taxing rewrite pitfalls

I have been corrected by many SE users, so the credit goes to them, but more importantly, here is the correct code:

server {
       listen         80;
       server_name    my.domain.com;
       return         301 https://$server_name$request_uri;
}

server {
       listen         443 ssl;
       server_name    my.domain.com;
       # add Strict-Transport-Security to prevent man in the middle attacks
       add_header Strict-Transport-Security "max-age=31536000" always; 

       [....]
}

You can always use add_header to add one, but even if you parse cookies coming down from backend looking at the http_cookie variable, you won't be able to modify them using vanilla nginx.

What you could use however is the 3rd-party Lua module. The link provided by Kyle Sith has an answer containg a small code snippet manipulating cookies (https://serverfault.com/a/448887/140131).