You may be doing this already...
When you copy them over via WinSCP each app will have 3 files (.vmdk, .vmdk.metadata,-flat.vmdk)
In WinSCP right-click the .vmdk and select 'File Names' -> 'Copy to Clipboard (Including Paths)'
Then when you SSH into the ESX host to thin provision just do 'vmkfstools -K <"paste in the whole path you copied from WinSCP">
I would also triple check that the AppStacks aren't attached to any machines when you try to export them via WinSCP.