Can you please provide some more detail here?
What Visual COBOL product are you using Visual COBOL for Visual Studio or Visual COBOL for Eclipse?
Are you using native code or managed code (.NET or .JVM)
What form technology are you using?
Visual COBOL currently supports calling SOAP Web Services in native COBOL projects and client programs can be generated using the WSDL file from the web service.
In managed .NET code you can create and consume SOAP (ASP.NET) and WCF Web Services quite easily so that the data is returned using standard COBOL types and you do not have to concern yourself with the xml format at all.
Please take a look at the documentation here:
There are also examples of Web Services in the Samples Browser.