If you have a system to run on you should talk with someone who already executes cobol-db2 programs on that system. Everything you need is site-specific and is already available on that system.
In general, the standard compile process should be used which will pre-compile the code (cobol and sql), compile the code, link the compiled code, and bind the cobol code to the sql code. Alll of the jcl, libraries and control statements have been determined for your system.
Hope this helps,