kgdb versions 1.9 and above are capable of detecting loading and unloading of modules. You can load and unload modules as and when needed. gdb will automatically load and unload object files corresponding to them. For kgdb versions 1.8 and earlier you have to use following procedure.

Unloading a module and loading it again in kgdb 1.8 and earlier.
A module can be unloaded as usual using rmmod command. You can again load it using loadmodule.sh script. After this you cannot immediately source the gdb script generated by loadmodule.sh script. This is because gdb will already have all the symbols loaded. You'll need to remove all of the symbol table from gdb and then start from scratch.

You can use the symbol-file command of gdb. symbol-file command removes existing symbol table and loads a new one. symbol-file vmlinux will load all vmlinux symbols from scratch. After this you can load module object files as per the usual procedure.