Je viens de voir Choix cookies sur un site mais la formulation semble maladroite (cookies est utilisé ici comme un adjectif).
On pourrait traduire littéralement Préférences de cookies mais la formulation Options de cookies me parait plus claire.

Sur suggestion de SkyLand77, la traduction Gérer les cookies est également claire et naturelle.

No native speaker. For cookies one uses in French the same wording as in English.
https://fr.wikipedia.org/wiki/Cookie_(informatique)#Id%C3%A9es_re%C3%A7ues.

There are two other translations: témoin ; témoin de connexion (http://www.culture.fr/franceterme/terme/INFO52) but I have not heard being used.

I guess "préférences (des) cookies" would be ok. For instance,
https://www.edenred.fr/preference-cookies

Gérer vos préférences cookies

I would think the best French language translation would be gestion des témoins (de connexion) (Franceterme, GDT), because it’s meaningful and because cookies is something you want to manage rather than personalize per se (less you cook them with decorations on top), but the term cookie(s) is no doubt very much in use at this point in time. Préférences, options, paramètres are all useful but the "préférences de cookies" is in essence a mostly complete phrase loan from English which doesn’t help with making this meaningful; nevertheless it should be popular. This answer relies on material introduced first in another answer.