There are a number of ways: malware, browser extensions, man in the middling, etc. SQLi would have been a better example than XSS, but there are definitely ways in which XSS can still be harmful if thrown in a cookie. If you wanted a persistent XSS for example, you could use a reflected XSS to create a longer lasting XSS attack in someone's login cookie, causing that to be executed every time they hit the page rather than just the one time they click on a malicious link you sent them. Does this make more sense?