Well keep in mind that Cobalion only has an Attack Stat of 216 with no investment, so to be threatening he does need Close Combat. But he's not throwing Close Combat around constantly considering his job is to force switches with his ability to freely switch into very common Pokemon like Tyranitar & Dragonite so you'll rarely be too troubled by the Defense drop.
After you posted, I've been testing out Bulky Swords Dance all afternoon. It definitely works well. This is the set I'm running:
Cobalion @ Leftovers
Trait: Justified
EVs: 252 HP / 148 Def / 108 Spd
Impish Nature (+Def, -SAtk)
- Swords Dance
- Close Combat / Sacred Sword
- Stone Edge
- Safeguard / Roar / Hidden Power [Ice]
This is as optimized as I can make this set. The 108 Speed EVs are to out-pace Timid Heatran. Sacred Sword can be used but I still don't recommend it because of the power drop. Stone Edge is his best *coughonlycough* coverage move. The last slot is really a toss-up. Safeguard protects you from WoW, Scald, Jirachi, and other nasty diseases, Roar can net you a free turn of set-up, & HP Ice lays waste to those pesky Gliscor.
Surprisingly enough, Cobalion still takes hits amazingly well even with those heavily split EVs.
___
252 Atk Terrakion Close Combat vs 252 HP/148 Def Cobalion: 66.06% - 77.72% [2 hits to KO (with Leftovers)]
252 Atk +Sand Force Landorus Earthquake vs 252 HP/148 Def Cobalion: 69.95% - 82.38% [2 hits to KO (with Leftovers)]
252 +1 Atk Dragonite Fire Punch vs 252 HP/148 Def Cobalion: 46.63% - 54.92% [2-3 hits to KO (with Leftovers)]
___
Yep. All still very impressive there. With Heatran being out-sped, those hits right there are the most common things he has to worry about in OU bar Salamence & Latios' Fire Moves, Ninetales, & Special Infernape.
On a side note; after more & more testing, this is the revised version of the defensive set in my previous post:
Cobalion @ Leftovers
Trait: Justified
EVs: 252 HP / 200 Def / 56 SDef
Relaxed Nature (+Def, -Spd)
- Hidden Power [Ice]
- Close Combat
- Thunder Wave
- Taunt
Those EVs still let him comfortably tank any hits he needs too while giving a much needed boost to his Sp.Def. I found Gliscor & Landorus were being a pain since Cobalion couldn't do anything to them, so I switch Hidden Power Ice over Roar since Taunt & T-Wave pretty much cripple any setup sweeper that's not Conkeldurr. But aside from those small changes, it plays exactly the same.