You can efficiently remove cookies in Selenium tests by using the `driver.quit()` method in Firefox and Chrome, which will start a new session with lost cookies. For Internet Explorer and Edge, alternatives include shelling out to the command line to remove cookies or going into browser settings to delete cookies, although these methods may require explicit waits. Another approach is to use the registry editor to delete cookies, or create a batch file to automate this process. Additionally, renting the web browser used for testing can be an alternative solution.