To enable CONFIG_KGDB you should first turn on "Prompt for development and/or incomplete code/drivers" (CONFIG_EXPERIMENTAL) in "General setup", then under the "Kernel debugging" select "KGDB: kernel debugging with remote gdb".
It is advised, but not required that you turn on the CONFIG_FRAME_POINTER kernel option. This option inserts code to into the compiled executable which saves the frame information in registers or on the stack at different points which will allow a debugger such as gdb to more accurately construct stack back traces while debugging the kernel.
If the architecture that you are using supports the kernel option CONFIG_DEBUG_RODATA, you should consider turning it off. This option will prevent the use of software breakpoints because it marks certain regions of the kernel's memory space as read-only. If kgdb supports it for the architecture you are using, you can use hardware breakpoints if you desire to run with the CONFIG_DEBUG_RODATA option turned on, else you need to turn off this option.
Next you should choose one of more I/O drivers to interconnect debugging host and debugged target. Early boot debugging requires a KGDB I/O driver that supports early debugging and the driver must be built into the kernel directly. Kgdb I/O driver configuration takes place via kernel or module parameters, see following chapter.
The kgdb test compile options are described in the kgdb test suite chapter.