Let the cookies expire when you close Firefox. If you need to keep some specific cookies then create an allow exception: Tools > Page Info > Permissions

Tools > Options > Privacy > Cookies: "Keep until": "I close Firefox" You can also disable third-party cookies unless you visit sites that use them.

To see all the History and Cookie options, select: Tools > Options > Privacy > History: Firefox will: "Use custom settings for history"

I normally do not allow permanent cookies except for certain sites like chase.com but I do want to allow all other sites to set session cookies. So I tried to enter "*" in Tools/Options/Privacy/Exceptions and then click on "Allow for session only" but that doesn't work. It is too much work to allow this for all sites seperately.

If all cookies expire if you close Firefox then that are automatically session cookies and will be removed when you exit Firefox. You can't create an exception with wildcards.

But I don't want ALL cookies to expire when firefox closes, what I need is an option: "Always allow session cookies". Are you sure that with your solution the "allowed" cookies won't get deleted when you close Firefox?

Yes, Firefox keeps allowed cookies unless you use Delete browsing, search and download history on Firefox to remove cookies. You can easily check that yourself.