Yeah... that can be a pain though.
You might be able to find
some utility program (ala Norton Clean Sweep or something)
that will be able to "filter" what cookies are deleted but I
personally don't know of one for UNIX.
You could always NOT browse sites that you don't want
anyone to know about (I'm sure your employer would prefer
this) or you could create a separate user account for
"dubious" browsing and set the browser not to accept cookies
then clean out cache and history before you log out.
Remember one thing, if you're going through your company's
network, your activity CAN BE MONITORED. So....
"let's be careful out there"