What do you mean one or the other?
Cookies store data. You can use them to store session data. Session data can also be pass in the URL or hidden in form data too.
If you need to store large amounts of data between pages (i.e. sessions), you would usually give the user a session ID and associate the data with that ID. Storing the data in a database or flat file between pages.
Of course PHP has some built in session controls, take a look here:
Session handling functions
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