In order to create a usable webstart admin client I need to sign the exist jars. So:

1) Before injecting the jars and so forth in to the Cocoon build tree I need to build eXist with this: build.sh -f build-sign.xml.
2) Then I inject the necessary bits and pieces in to the cocoon tree with:
./build.sh -f build/scripts/cocoon/build.xml
3) Then I run the cocoon build with a build.sh in the cocoon source tree root
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Tried the above (which is from the online documentation) and they don't work as is - the file "build-sign.xml" doesn't exist. To build signed jars do this:
./build.sh -f build/scripts/jarsigner.xml