The WSDL generation should be independent of whether the service is running or not. The error you are getting appears to indicate that the name of the service in the WSDL is not valid to be a COBOL name and so the compiler is rejecting it. What is the name of the internal web service? You may have to manually change this in your program-id to a valid name.
The client generator generates two programs for you. The first is the UI program which does ACCEPT/DISPLAY statements to get data for the call and return data from the call. This program then in turn calls the proxy program which accepts the parameters and actually calls the Web Service and then returns the parameters back to the calling UI.
If you wanted to replace the generated UI with your own then you would just need to call the proxy using the same interface as the generated UI.
If you wanted something simple where you could just add a reference to the project and then call the methods then you would have to use the managed client approach.