All 3 of the plants you mentioned will self-sow reliably year after year after year. For 30+ years I gardened in Zone 6 and discovered a wonderful combination in the verbena bonariensis and the tall orange sulphur cosmos. The verbena is a see-through plant but very sturdy and helped hold up the tall cosmos. The orange/blue mix of colors was eye catching.

The verbena/cosmos were in a driveway entrance planting and backed by a clump of miscanthus. The location was on a hillside in full sun. This bed rarely received supplemental water and looked inviting year after year. Removing unwanted seedlings in the spring took some time (the verbena seedlings were nearly thick as grass) but it was such a carefree and lovely combo thereafter, that the spring chore was well worth it.

Cleome was in another bed in full sun and also reliably self seeded. It looked good in the early part of the day but in the scorching heat of August, the flower would wilt and look faded in the afternoon. This bed did not get supplemental water either; maybe the cleome would have look perkier with an afternoon drink. Despite this, cleome remained a part of this sun bed for years.

The seedlings of all seemed to remain in the general area of the mother plant(s) Â i.e. not 30 feet away.

Other reliable self-seeding annuals I had in my Zone 6 garden were the red salvia coccinea (the hummers loved this one) and malva zebrina. Besides the striped purple flowers, the malva had lovely glossy foliage

other annuals to self-seed for me in Z4:
nicotiana alata (the fragrant white one)
alyssum
california poppies (maybe other poppies?)
once in awhile I might get some nasturtiums

Cleome and Cosmos reseed for me here. Some years I feel like the cleome from reseeding are weaker than their parents but this past year they were very strong and very numerous. Cosmos reseed less for me and often not exactly where I would have planted them. For both to reseed you have to let the seeds mature on the plant. I stop deadheading early in the fall.

Self-sowers in my garden:
Verbena bonariensis
Cosmos
Nigella
Chinese Forget-me-Not (Cynoglossum amabile)
Nicotiana alata
Viola/pansy 'Johnny Jump-up' (rather excessively)
Aster 'Crego'
Sunflower
Rudbeckia hirta (is annual and biennial for me...same source of seed)
Coreopsis tinctoria (Plains Coreopsis)
Sweet Alyssum
Larkspur
German Chamomile (rather excessively!)
Linaria maroccana
Salvia coccinea
Salvia hormonium
Moss Rose

Vera

Four o'clocks also self-seed prolifically for me. And morning glories, though they will take over the world if you let them.

Cleome self-seed for me but I didn't like the children of my hybrid variety so this year I will uproot any self-sowers and replant with new seed from a packet.

Marigolds also reseed themselves, though with hybrid varieties you never know what you'll get.