Arranging the substances in order of increasing density:

1. Air: Compared to these substances, air has a relatively low density. It has low density due to the gaseous molecules that make it up.

2. Exhaust from chimneys: Chimney exhaust density can change, and it depends on mixture. It is normally comprised of gases, such as carbon dioxide and nitrogen with higher density than air.

3. Cotton: Cotton is a solid with a relatively low density. This has lower density than other denser materials owing to its fibrous and porous nature.

4. Water: Water has a moderate density. At a state of ordinary temperature, its density is roughly 1g/ cm3 which makes it denser than either air or a cotton.

5. Chalk: Water usually has a lower density than chalk. It is either more dense or less dense than water depending on the composition (mostly contains calcium carbonate).

6. Iron: Iron is considerably denser than all other materials in this list. It weighs about 7.87 g/cm3, which means it weighs heavier than water, chalk, cotton, chimney exhaust and air.

So, the substances arranged in order of increasing density are: air, smoke from chimnies, cotton, water, chalk, and iron.