Actually we added the Procedural Multi-Output project template to the managed code templates in 2.3 update 1, I believe, so you can have a managed code project where each individual program will generate its own .EXE or .DLL assembly.
From the command line you could either build one of these projects using msbuild or you can run a separate compile for each.
cobol myprog.cbl -ilgen(sub)
The above will generate the myprog.dll assembly