How do I retain url parameters the entire time a user browses my site?

Question

We have customers that come from other sites and I would like to retain a url parameter /?lead=openeye throughout the time that they're browsing. That way when they fill out a form I can capture the lead for sales.

How do I retain url parameters the entire time they're browsing the site.

Update..

I've began using a combination of sessions and cookies to accomidate this. It sort of works but doesn't seem to stick for more than a few seconds between pages.

In the header

<?php 
    $lead = $_GET['lead']; $_SESSION['lead'] = $lead;
    $url = parse_url(get_bloginfo('url'));
    setcookie("lead", $lead, 0, $url['path'], $url['host']); (set) 
?>

To test

<?php 
    echo ($_COOKIE['lead']); // Lead Cookie
?>