This sed one-liner in BASH appears to work for me:
sed '/^##/! s/|/\//g' INPUT.vcf > OUTPUT.vcf
...or to replace directy in the file without creating a new one, use sed -i ...
[tested on linux / Ubuntu 16.04]
The first part of the sed command (^##/!) means that it won't replace pipe symbols found in the VCF header. I can't imagine that pipe symbols would be used anywhere else in the VCF main body, other than [possibly] when an annotation program adds custom annotation to the INFO column.
Another possibility would be to use awk in BASH in order to specifically change values in a particular column, but this would get cumbersome with multi-sample VCFs.