Cosmos grows beautifully in the Black Hills and is so easy by seed.  I am big seed saver so am always collecting seeds from all of my flowers.  One note, the seeds of Cosmos as very pointy so I suggest using gloves when you harvest.  Pointy to the point of, dang, that's painful!

What I do, is have a bunch of empty old jars in the garage, one for each kind of plant seed and then, periodically, head to the garden and gather seeds.  Every year, I plant marigolds, cosmos, green lettuce, morning glories, peas and beans this way.  It's very simple and I'd like to try more seed saving. It's just a smart thing to do!