Thanks a lot for your time.
Now, my module provides the data for cookie as a variable and proxy_set_header just sets the cookie. Sending a response to client via headers_out is OK.
I have managed to get the value of the cookie variable in my another module. I used ngx_http_get_variable_index() for getting the index of variable in configuration section and then at runtime ngx_http_get_indexed_variable() for getting the value.

Michal