Chocolate cosmos are native to Mexico, so they won't survive over the Winter if temperatures drop to around 55°F(13°C). When foliage dies off during autumn, dig up your plant, and allow to dry off completely, before storing in a dark, frost-free place until February/March when you can start them into growth again on a bright, warm windowsill.
It is also important to note that these plants do not produce viable seed, so by taking cuttings, you can raise a whole new generation of these lovely plants with very little effort. Happy growing!
