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.
Current KGDB release is 2.4. Here is a list of downloads for current relesae.
The kgdb patch: linux-126.96.36.199-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