The third world use a winnowing basket!!
On a windy day, take a flat bottom basket, stand with your back to the wind and throw the seed up into the wind.
If you get it right, the chaff gets blown out by the wind, obviously the seed needs to land in the basket or whatever you are holding in in.

If you're as clumsy as I am, you can just blow on a bowl of seeds and chaff and blow most of the chaff away. Also, seeds are much heavier, so if you put them in a skinny container, like a juice glass, and shake/tap it a bit, the seeds will fall to the bottom and you can pinch most of the chaff away. One other method which works better with more rounded seeds is to get a tray with a lip and put your seeds/chaff at one end and tilt it slightly while fluffing/stirring the main pile. The seeds will roll to the other end.

If you store your seeds in a paper bag or envelope, a little chaff won't hurt anything. Cosmos seeds are one of the more difficult to clean well due to the light weight and shape of the seeds. Not something I would spend much time on.

Thank You Purpleinopp.