Use the Line Options.
At the bottom of the Line Menu, This will give you a dialog to select one of the Rounding presets. You can use set the rounding size, but the presets give examples of what the values will look line.
You can then play with the rounding size to fine tune it. This sets the line style of the shape, so I usually take it one step further and go to the Developer tab and chose Options -> Union. Make sure the rectangle is alone, other wise you make get unsatisfactory results.
If you are familiar with the Shapesheet, the rounding will change a value is a cell,
the Union will add new rows to the Geometry section.
will change to
So, if you do not mind All corners being rounded, stick with the Rounding setting.