I'm two zones warmer than you and cosmos generally do not reseed here. Maybe a stray one here or there, but I buy seeds each year.

Now is a good time to collect your seed. In zone 4 I would sprinkle some seed around mid May. These plants generally do better if direct sown. As soon as your soil warms they'll germinate and grow faster than purchased plants. Seed you collect from your own plants are more viable then store bought seed.