"FYI, what I do when reading messages is, ..."

I do the very same, however if in that process I read a message newer than some message entered in another thread I checked earlier, that message does not get flagged when I press "refresh" after reading all flagged threads.
A way to handle it would be to flag if the last message in a thread is not read.

". I think I'm going to have to use HTML cookies extensively,"

Please remember the discussion a year or so ago regarding those of us that work some days in one location and some days in another which makes you see "a millon" flags when you first log on from the other location. One way to handle that would be to allow a "deflag all entries earlier than" command.