I have attached a zip file containing an example of the second approach that Mike has mentioned. This contains two solutions, WCFCOBOLTest which consists of the WCF Web Service project named WCFCOBOLTest and the .NET client project named WCFCOMTest that consumes it and nativeclient which contains the native COBOL program that will call the managed client as a COM module. The WCFCOMTest project is set to be registered for COMInterop.
To run this you need to open up WCFCOBOLTest.sln and then click on Debug-->Run without debug to start the Web Service and then open up the nativeclient.sln in a different Visual COBOL session and step through the code. You can also run nativeclient from the command prompt after rebuilding it.