I wouldn't be installing a program to remove them you can do it in the browser but it's misleading to assume they are tracking you.
Most cookies are innocent stuff like remembering log-in info if you delete them all make sure you know them and are prepared to repeatedly type them in.
However we've all noticed adverts suddenly popping up for something we searched for yesterday so a lot of information is being shared behind scenes.
To be fair it might sometimes be a useful thing suggested to you.
I still would not be deleting them routinely unless I'd searched for how to get rid of the bodies.