To get the most of a cookieless domain there is some more you should do when setting up a cookieless domain.
Excerpt from Google Page Speed site:To reserve a cookieless domain for serving static content, register a new domain name and configure your DNS database with a CNAME record that points the new domain to your existing domain A record. Configure your web server to serve static resources from the new domain, and do not allow any cookies to be set anywhere on this domain. In your web pages, reference the domain name in the URLs for the static resources.
If you host your static files using a CDN, your CDN may support serving these resources from another domain. Contact your CDN to find out.