You can obtain a KGDB patch and a gdb to use with it from the downloads page. This page contains the released versions of kgdb. If you want the bleeding edge kgdb, you can use the Development Version of KGDB. It may not be stable, though.

Current KGDB release is 2.4. Here is a list of downloads for current relesae.
The kgdb patch: linux-2.6.15.5-kgdb-2.4.tar.bz2.
GDB for i386: gdbmod-2.4.bz2
GDB for x86_64: x86_64-pc-linux-gdbmod-2.4.tar.bz2