Had the exact same question. According to  [this post](http://stats.stackexchange.com/questions/94280/how-to-convert-from-mann-whitney-u-to-z-or-other-effect-size) and Wilcoxon (p166) you shouldn't calculate Z and Cohen's D respectively because their calculation is based on the normality assumption. 

Wilcoxon provides robust alternatives to Cohen's D (p166-170) including R code in his book. Got the book from my library. It is also available as e-book in both library networks I have access to. 

http://store.elsevier.com/Introduction-to-Robust-Estimation-and-Hypothesis-Testing/Rand-Wilcox/isbn-9780123870155/ 

There are a couple of other posts in this forum asking very similar questions (effect size for [Wilcoxon](http://stats.stackexchange.com/questions/30455/how-to-determine-the-effect-size-of-a-wilcoxon-rank-sum-test-in-r), [one sample Wilxocon](http://stats.stackexchange.com/questions/23275/how-do-you-calculate-the-effect-size-of-one-sample-wilcoxon-signed-rank-test) or [Mann-Whitney-U](http://stats.stackexchange.com/questions/94280/how-to-convert-from-mann-whitney-u-to-z-or-other-effect-size) tests just to name a few). You might like to look at those too.