That makes sense and doesn't sound like you are setting lots of cookies on each user, just keeping track of their initial entry point and referrer which seems quite reasonable to me.
One thing to keep in mind about the HttpModule is that it may fire on every request, depending on configuration it may fire even for static file requests.
Another solution would be to just make a custom server control or UserControl that doesn't render anything but does your tracking and cookie stuff. You could easily embed the control in the layout.master file of the skin. This way you would be sure your code would only fire on actual pages whereas with the HttpModule you would need to check the file extension of the request to make a decision whether to fire your logic. Either approach would work though.