I finally figured this out. This is the sequence to make a working Cocoon webapp:

1. Checkout eXist from SVN.
2. Copy our local.build.properties file into the Cocoon tree (this turns off the Lucene and querybean in Cocoon, per instructions from WM.
3. Copy our own build.properties file into the eXist tree (this contains the path to the Cocoon tree on our system).
4. Sign the eXist jars (required for the JNLP client to work):
   ./build.sh -f build/scripts/jarsigner.xml
5. Do a complete build of eXist (required to generate a conf.xml):
   ./build.sh all
6. Build eXist for Cocoon:
   ./build.sh -f build/scripts/cocoon/build.xml
7. Clean the Cocoon build tree using the Cocoon build.sh:
   ./build.sh clean
8. Rebuild Cocoon:
   ./build.sh
9. Copy missing jar files:
   ws-commons-util-1.0.2.jar
sunxacml-1.2.jar
   from EXIST_HOME/lib/core into the generated
   COCOON/build/webapp/WEB-INF/lib
10. Copy some custom jars of our own, xqSearchUtils.jar and TitleSortComparator, along with SaxonHE.jar, into the Cocoon lib directory -- not part of the core process.

This gives us Cocoon 2.1.11 with eXist as a block, with a working admin interface and a working JNLP client. Eventually, I suppose step 9 will be redundant as those jars will be handled along with the others as part of the normal build.

Meanwhile, these steps are also going to be needed to really refine the process:

1. Abstract hard-coded paths from the script.
2. Patch the root sitemap in Cocoon to add the Saxon 9 XSLT 2 generator, and a couple of other generators we like to use.
3. Figure out the implications of the build source and build target settings. In my successful build this morning, I built with 1.5, 1.5, although the deployment environment will be 1.6.