Cookies will get saved during the session otherwise many websites wouldn't work -- but only first-party cookies.
We're working on reducing any even temporary cache / history saved -- thanks.
Blocking IP leaks via plugins is difficult -- we'd like to do this, but it's not easy which is why TOR by default disables all plugins. If keeping your IP secret is of critical importance, we would definitely suggest via "Settings" to set plugins to disabled or click-to-play.
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