My current attempt, based on some back-and-forth with WM, goes like this:

1. Replace the build.xml, exist-gump.xsl and exist-jars.xsl with the ones from here:
   
   http://exist.svn.sourceforge.net/viewvc/exist?view=rev&revision=10205
2. Download a fresh Cocoon 2.1.11.
3. Patch the Cocoon blocks.properties with a local.blocks.properties which disables Lucene and querybean, per WM's instructions.
4. Check the build/scripts/cocoon/build.properties file in $EXIST_HOME to make sure it points to your local $COCOON_HOME instead of WM's
5. Sign the eXist jars: in $EXIST_HOME ./build.sh -f build/scripts/jarsigner.xml
6. Build eXist: in $EXIST_HOME ./build.sh -f build/scripts/cocoon/build.xml
7. Clean up the Cocoon tree: in $COCOON_HOME ./build.sh clean
8. Rebuild the Cocoon webapp: in $COCOON_HOME ./build.sh
9. Copy ws-commons-util-1.0.2.jar and sunxacml-1.2.jar from EXIST_HOME/lib/core into the generated COCOON/build/webapp/WEB-INF/lib
10. Copy my own TitleSortComparator.jar and xqSearchUtils.jar into the same folder (optional for the moment)
11. Copy the generated webapp folder to [Tomcat]/webapps, and rename it cocoon.
12. Start Tomcat.
13. Confirm that Cocoon and eXist are running.
14. Try the JNLP: It should startup OK.
15. Connect using the client: $EXIST_HOME/bin, ./client.sh, then connect to xmldb:exist://localhost:8080/cocoon/xmlrpc
16. Using either the client or the JNLP, upload documents, then create a backup to make the process simpler in future.
17. Shut down Tomcat.
18. Add saxon9he.jar to [cocoon]/WEB-INF/lib.
19. Change web.xml to set all encodings to UTF-8 (some are still 8859-1 in the default setup). This assumes that the Tomcat process is itself being launched with a UTF-8 flag in the VM, as part of the Java launch command. I do this using a startup_as_utf8.sh file in [Tomcat]/bin:

    #!/bin/bash
    ./startup.sh dFile.encoding="UTF-8"
    

20. Configure Cocoon so that Saxon can be called. First, open cocoon/WEB-INF/cocoon.xconf, and find the bit that refers to Saxon XSLT, which is commented out by default. Uncomment the code and change it according to the instructions in the file, so that it enables Saxon 9:

          	<component logger="core.xslt"
                       role="org.apache.excalibur.xml.xslt.XSLTProcessor/saxon"
                       class="org.apache.cocoon.components.xslt.TraxProcessor">
                <parameter name="use-store" value="true"/>
                <parameter name="transformer-factory" value="net.sf.saxon.TransformerFactoryImpl"/>
              </component>

21. Now we need to edit cocoon/sitemap.xmap to enable the Saxon transformer. In the <map:transformers> section, add this below the other XSLT transformers:

          <map:transformer name="saxon" pool-grow="2" pool-max="32" pool-min="8"
          		     src="org.apache.cocoon.transformation.TraxTransformer">
          	    <use-request-parameters>false</use-request-parameters>
          	    <use-browser-capabilities-db>false</use-browser-capabilities-db>
          	    <xslt-processor-role>saxon</xslt-processor-role>
              </map:transformer>

22. Add the following in the <map:serializers> section, to enable a couple more useful output formats:

          	<!-- Customization: compatibility setting for IE6 -->
              <map:serializer logger="sitemap.serializer.xhtml" mime-type="text/html" name="xhtml11_compat" pool-grow="2" pool-max="64" pool-min="2" src="org.apache.cocoon.serialization.XMLSerializer">
                <doctype-public>-//W3C//DTD XHTML 1.1//EN</doctype-public>
                <doctype-system>http://www.w3.org/TR/xhtml11/DTD/xhtml11.dtd</doctype-system>
                <encoding>UTF-8</encoding>
              </map:serializer>    
              <!-- Customization: set text output to UTF-8 -->
              <map:serializer logger="sitemap.serializer.text" mime-type="text/plain" name="text" src="org.apache.cocoon.serialization.TextSerializer">
                <encoding>UTF-8</encoding>
              </map:serializer>

23. In eXist's configuration (WEB-INF/conf.xml), make change the indexing settings from this:

    <indexer caseSensitive="yes" index-depth="5" preserve-whitespace-mixed-content="no" stemming="no" suppress-whitespace="none" tokenizer="org.exist.storage.analysis.SimpleTokenizer" track-term-freq="yes">

    to this:

    <indexer caseSensitive="no" index-depth="8" preserve-whitespace-mixed-content="yes" stemming="no" suppress-whitespace="none" tokenizer="org.exist.storage.analysis.SimpleTokenizer" track-term-freq="yes">

24. In eXist's <conf.xml>, change this:

       <serializer add-exist-id="none" compress-output="no" enable-xinclude="yes" enable-xsl="no" indent="yes" match-tagging-attributes="no" match-tagging-elements="no">
    

    to this:

       <serializer add-exist-id="none" compress-output="no" enable-xinclude="yes" enable-xsl="no" indent="yes" match-tagging-attributes="no" match-tagging-elements="yes">
    

    (just the final attribute changes) to turn on exist:match tagging.
25. In eXist's <conf.xml>, change this:

            <index>
                <fulltext attributes="false" default="none">
                    <exclude path="/auth"/>
                </fulltext>
            </index>
    

    to this:

            <index>
                <fulltext attributes="false" default="all">
                    <exclude path="/auth"/>
                </fulltext>
            </index>
    

    to turn on fulltext indexing. You can also do this by collection in the admin client.
26. Restart Tomcat. Check that things work.