You should be able to compile the character based screens as managed code with no or minimal changes but they will still run as character based screens only they will be .NET assemblies instead of native Windows executables.
Windows Forms are a set of classes in .NET that can be accessed directly from managed COBOL. You can design your Forms using the Visual Studio designer and it will generate the code-behind COBOL classes in order to run these.
Visual COBOL does not provide a mechanism for converting character-based screens directly to WinForms.
Perhaps someone else on the forum has developed a tool that might help with this type of conversion?