Hi Alain,
By "standard" COBOL application are you referring to native procedural code instead of managed .NET or JVM code? Which product do you use Visual COBOL for Visual Studio or Visual COBOL for Eclipse?
Both of these products allow you to generate a COBOL client program from either a WSDL file for a SOAP Web Service or from a JSON schema file for a REST Web Service.
If you are using VC for VS 2.3 Upd 1 then you would create a new project using the template type of Web Service Client Application from WSDL/JSON which can be found under the native category.
This will allow you to point to the WSDL or JSON file that represents your 3rd party Web Service or the output of the project will be a procedural native COBOL program and a proxy. You can then use these client programs however you wish.
You can also use the imtkmake command line tool to generate a client from a WSDL or JSON schema.
I covered some of the other approaches to this such as generating a client in a managed .NET project in an earlier post which can be found here.