I've pushed a branch to my fork that implements a set_cookie matcher and associated macros. It's based heavily on the set_the_flash and set_session matchers. My current app utilizes the cacheable-flash plugin which moves the flash messages into a JSON encoded cookie and then clears the flash. This matcher should allow you to match the cookie value on either string or regexp value.
I have written a similar matcher myself. I support adding such a matcher to shoulda.
And I wrote one too -- see issue #86. Mine also checks the cookie's expiration time (or lack of one)
This looks useful - can you file a pull request (with tests, of course) over at shoulda-matchers? That's where all of the "real code" lives now. Shoulda has become just a meta-gem that depends on that code.