Unfortunately, there's no option to skip file symlinks.
There's only an option not to follow directory symlinks. And it's turned off by default anyway.
https://winscp.net/eng/docs/ui_login_directories

I tried it and it did not work as I intended.

I tried copying two folders, as a test. One had no sym links, the other one did.
The sym links were always files with the extension .fq.gz and the targets were about 800Mb each (they're usually a lot bigger, but I tried the small ones first).

The targets are still being copied, more slowly than usual, and the estimate for time remaining does not work, it stays at 0, and the files state 100% transfer completed... but you can see how the files are being transferred.
Am I missing something and doing this wrong, or...

I did get the behaviour I wanted IF I also use a mask to exclude small files ending in .fq.gz (|*.fq.gz<2K) which to be honest it solves my main issue right now: the symlinks I want to avoid today are all .fq.gz or .fastq.gz so a mask is easy to do, but this will not always be the case.

Of course, 5 minutes after I post my question I realised that there's an "Advanced Site Settings" when I login, and within it I can untick the box "Resolve symbolic links", and that gives me the behaviour I was after. :)

So it seems it's something we need to decide upon logging in. Neat.

I thought I'd write this reply in case it helps somebody in the future.

Using WinSCP version 6.5.5

I have two broad folders.
One contains DNA sequencing data: many files, organised in subfolders, ranging anywhere from 3 to 20 Gb in size.
Another folder contains subfolders with individual analyses using the DNA sequencing data.

To make things a little simpler and not duplicate data, I have a subfolder within each analysis with symbolic links to the relevant files in the DNA sequencing data folder.

If I copy the analyses folders, it seems that by default the sym links are resolved, so I am copying the large sequencing data files from the other folder (the targets of the sym links), which means I am copying some of the same files multiple times. This takes a lot of unnecessary space and time.

Is there any option that I may have missed so that the sym links are NOT resolved when copying folders containing them?

The only idea I have right now is to make the symbolic links "hidden", and then use the "Transfer Settings" menu to tick the "exclude hidden files" box. I haven't tried it yet, in case there's a more direct way to achieve my goal. If there is no direct way, do you see any problem getting around it by using the 'hidden files' trick? I'd rather not go this route as there are some hidden files that I'd like to copy and keep hidden, but it's a smaller problem that I'm willing to live with if I don't find a better way.