I've never done it before, now I need to. Can anyone walk me through it?
I've got the machines linked via a direct serial line. Should I be using null modem? What program should I use for capturing? Term? Anything special to configure?
Be sure to use a null modem cable. There is a famous quote by me when I got my first A4000D and wanted to port my data via serial line: "I'll take the modem cable, it's shorter than the null modem cable." The result was a fried CIA chip (a normal cable connects more lines that you want to and does not twist RX/TX as required).
If you're going to debug kprintf stuff (exec/PutChar or whatever it's called), be sure to use the command SetDebugSpeed to set it to a reasonable high baudrate (I'm using 115200 without problems). I think the shell tool is part of the phase5 dev kit, I only found the source code here with a quick search
http://cd.textfiles.com/amigaformat/aformat-26-199804/-Seriously_Amiga-/Commercial/phase5/PPC/dev_45.17/Tools/SetDebugSpeed.cOn the other side, I recommend TeraTerm for Windows (unfortunately, I only handles the first 4 COM ports, so you might need to remap them if you're using a USB serial adapter), minicom for Linux (you need to disable the modem init stuff though) or Term for AmigaOS/MorphOS.
By default, the exec serial debug is 9600 bps, 8N1, no handshaking (not even XON/OFF AFAIK).