FireFox - How do you delete cookies/cache on closure?

[Marzipanogram]

How do you set FF to wipe cookies/cache etc when you close it?

In Options - Privacy and History section, I've only ticked "Clear history when FireFox closes".
Everything within the History section of that dialogue box is also ticked. But nothing in the Data section.
So it should delete everything when it closes.

But, after I close FF and open CCleaner and look in the Options tab and under Cookies.
All the cookies for sites I've visited are displayed.

I can easily run CCleaner to delete cookies/cache, but I'd like FF to do it.
I've refreshed FF and even reformatted Windows (not because of this issue).

Thank you

 

[Marzipanogram]

Thanks for the replying. Sorry I couldn't reply sooner, due to some FWittery by others I was banned.

Ticking everything under Data, deletes my saved cookies too.
Incognito Mode now works fine, before I reformatted it didn't.

Problem solved.
Thank you.