The Cogwheels, of which there are 10 in total, are needed to open the gate to the Hidden Pyramid and to solve some puzzles that are located in Sukhothai and to complete the "Khmer Cogwheel Puzzles" discovery. To make it easier for you to find them, you can buy the "Sukhothai Cogwheels" adventure book which will cause the places where you can find the cogwheels to be marked on the map.
Note: Remember to collect all the cogwheels after solving the cogwheel puzzle because you will need them to solve the subsequent puzzle.
