I would try Paralyzing him or putting him to sleep. When he is down to a few HP I would either use a Dusk Ball or a Timer Ball. A Dusk Ball will have a high percentage catch rate because you are in a cave (the percentage goes up more if it is night time). If you decide to use a Timer Ball, you will want to draw the battle out for as long as possible. The more turns that you play, the higher chance the Pokeball will catch Cobalion. Use a Pokemon with Rest to draw the battle out longer.