You might have to write code to do the export, rather than simply using the COPY TO ... DELIMITED command.
SELECT thedbf
mfld_cnt = AFIELDS(mflds)
fh = FOPEN(m.filename, 1)
SCAN
FOR aa = 1 TO mfld_cnt
mcurfld = 'thedbf.' + mflds[aa, 1]
mvalue = &mcurfld
** Or you can use:
mvalue = EVAL(mcurfld)
** manipulate the contents of mvalue, possibly based on the field type
DO CASE
CASE mflds[aa, 2] = 'D'
mvalue = DTOC(mvalue)
CASE mflds[aa, 2] $ 'CM'
** Replace characters that are giving you problems in R
mvalue = STRTRAN(mvalue, ["], '')
OTHERWISE
** Etc.
ENDCASE
= FWRITE(fh, mvalue)
IF aa # mfld_cnt
= FWRITE(fh, [,])
ENDIF
ENDFOR
= FWRITE(fh, CHR(13) + CHR(10))
ENDSCAN
= FCLOSE(fh)
Note that I'm using [ ] characters to delimit strings that include commas and quotation marks. That helps readability.