Mr Cosmo was a Warden who was tasked with watching over Missy. He stopped Moses Walker from dying after he was shoved off a roof by Missy. He suggested that she get a job. Missy managed to get free of him by trapping him in the Djinn's amphora. (AUDIO: A Spoonful of Mayhem)
Around two years later he was released from the Amphora by Jenny Flint and Vastra after Lucy Davis requested that he might help her stop Missy. He arrived just as she was reviving a god of winter, but he couldn't jam Missy's vortex manipulator to stop her escaping. (AUDIO: Brimstone and Terror)