You seem to be mixing two different things.
COBOL (or CL or RPG, or etc) are programming languages used to create a program object.
An autostart job is connected with a subsystem.
When you add an autostartjob to a subsystem it will call a program object.
If you do a WRKSBSD and then take option 3, you will see an autostart jobs if they exist.
To add a new one to a SBSD use the ADDAJE command.