how does COSS pay revenues from exchange and payment gateway ETH, COSS, etc.?

From the exchange, they'll share all the coins they get, so you'll get a proportion of every transaction there, every coin deposited in your account.

am i getting the proportion just by keeping my coss token at exchange or i should make external wallet to get the devident

You can get revenues at exchange or external wallet like MEW. You need to follow the guide that is on twitter or your dashboard on Coss Exchange