You use the COBOL Projects From Selection wizard available from Solution Explorer to subdivide your projects:
To invoke the wizard, in Solution Explorer select the files in your project that you wish to use to create a new project, right-click the selection and click Create Project. The wizard enables you to specify the type of project to create and whether to copy or move the selected files into it. Once you specify you preferences, the wizard creates the new project in the same solution and it has the same properties and references as the original project, and a build configuration which is the default one for the specified project type.