Thank you for posting this article, Haidong Ji. The "ed" thing is also there in Oracle sqlplus.
Boris. I typed exactly as Haidong suggested and it worked: set sqlcmdeditor = notepad (with set, without the .exe). After I entered sqlcmd, I typed a select statement then I typed ed and notepad popped up. I saved and exit and the statements I typed in notepad are displayed on sqlcmd. It is really handy.