How does one correctly format the sql statement so that the "\" does not 
cause issues.

The documentation says

"Otherwise, a more flexible approach is to replace the SQL's COPY 
command with the psql's "meta-command" called \copy which which takes 
all the same options as the "real" COPY, but is run inside the client 
(with no need for ; at the end):

psql -c "\copy tbname FROM '/tmp/the_file.csv' delimiter '|' csv"

As per docs, the \copy command:

Performs a frontend (client) copy. This is an operation that runs an SQL 
COPY command, but instead of the server reading or writing the specified 
file, psql reads or writes the file and routes the data between the 
server and the local file system. This means that file accessibility and 
privileges are those of the local user, not the server, and no SQL 
superuser privileges are required.

In addition, if the the_file.csv contains the header in the first line, 
it can be recognized by adding header at the end of the above command:"

I have tried many different variations of paths and names etc but the 
slash infront of the lower case copy seems to be causing the issues.

So this fails.

sqlcmd=
sql
\copy public.syssels
FROM C:\PdoxRd\BotSysSels.csv
DELIMITER ',' csv
endsql

try

executesql(dbPG, sqlcmd)

onfail

get the error stack etc.

The error stack says

1. An error was triggered in the 'executeSQL' method on an object of SQL 
type.
2. ERROR: syntax error at or near "\";
Error while executing the query