Hi,
First you should know how a header in a DBF is build. It starts with 32 bytes of information which contains the amount of fields, etc. Then for each field there is also a header of 32 bytes. Afther that there is a record with a delete marker, without a carriage return. In the old Dbase books, the format is perfectly explained.
If you have a binairy editor, you can just take the header off and put it apart. You can write in COBOL your records with an extra byte in front, without the carriage-return linefeeds. With the copy /b command, you can put your COBOL output and the header together. Example:
COPY /B HEADER + MYOUTPUT MYDBASE.DBF
An other option is to write the fields out of your COBOL environment into a comma delimited file. Than you read it into Excel which can save as DBF.
You can also import the text file into your FoxBase environment by a command something like APPEND FROM
but I am afraid that I am not a DBF guy. I have a Realia program that converts DBF files into a sequential text file.
You can mail me if you need such a program. But it is not for free...

That was a few days work!
I have also something that converts DBF headers into a working-storage definition.
There is a great CD from Dr. Dobbs Journal with file formats, which explains also all about the DBF stuff.
I hope this helps.