Using drupal multisite setup, and by using the parallel module, I was able to serve images, javascript (although not recommended because of cross domain limitation) and css under my subdomain. To remove cookie on the said file types, I used the following lines in my .htaccess file:

<IfModule mod_headers.c>
	<FilesMatch "\\.(js|css|jpg|png|jpeg|gif)$">
		RequestHeader unset Cookie
		Header unset Set-Cookie
		Header set Cache-Control "max-age=86400"
	</FilesMatch>
</IfModule>

I ran my yslow and I think it works.