There is no delay...It takes the computer really little time to write 1KB of text to the hard drive.
The only "delay" that I can think of, is that you can't use the cookie in the same instance of the script that you set it (why would you anyway? you have the variable defined already). Only the next time the script runs will you be able to get the cookie's value. But that's not a "delay" per se...
Diego