You have to pass some object as state
argument to BeginGetFile(s) - then you can use the same object in the AbortTransfer call:
int state = 1; // any type can be used as 'state'
IAsyncResult ar = sftp.BeginGetFile("file.txt", "file.txt", 0, 0, -1, callback, state);
...
sftp.AbortTransfer(state);