According to 'Garden Flowers From Seed' you should sow them February-March in seed compost at a depth of 6mm (1/4 inch), 10-15 degrees C. They should take 10-14 days to germinate. When they are large enough you can prick them out into larger modules and then plant them out when the frosty weather has passed.

You could also sow them in situ in April-May. I have never done that myself, it seems pretty easy to grow them in modules.

I think seed compost would be best but perhaps someone will advise further.

I don't know if they come true from collected seed, though.

I would wait till mid April to sow Cosmos as they get big quite quickly indoors and the sun duration is still weak. You need to pinch them out to encourage bushy habits as they tend to get tall and scraggly without it.

If we get an April as mild as last year then they should germinate outside then but normally it is late May.