The JTAG port, the serial ports and a bunch of other connectors are all on the base board (sometimes referred to as carrier board or a development board. I would suspect that the amount of progress you'd be able to make will be quite limited without same.
BTW are you developing using NET+OS or LINUX?
I agree with you dakota, it definitely is taking a longer time understanding things without the development board, but it is achievable.
Making my own custom board, is planned in the future, however for now I have just soldered wires to the connector..very primitive, but does the trick.
My device is a Digi's plug and play firmware version, therefore I am using neither NET+OS or LINUX.
I have managed to configure the device with its own web interface as well connect to talk to the virtual serial port. I must say that the applications that digi supply on their website are very useful. I have installed the Realport drivers, and two applications. Things that really helped me get going was the device discovery wizard(find the device and its ip if your network is DHCP), web interface(configure the device's web page and perform various setups) as well as Digi Port Authority(monitor port activity). I'm not sure if there are more applications like this that can expose more functionality on the device, but I would welcome it..