What makes a Cosmo Burger great? Two things that you can now have in your own home from Made In KC - the perfect dill pickles and the famous sauce! Cosmo Burger is a rising star in the KC area, with Waldo and Lenexa locations. Creamy and tangy, with a little spice kick! Cosmo Burger Famous Sauce is great on burgers, as well as tots, fries or veggies.