You just need a J-Tag debugger to download the software and start debugging.
Olimex ARM-USB-TINY-H or Segger J-Tag debugger would work fine. A 10 pin header (2x5) is needed to connect the J-Tag debugger. Please check the evaluation board schematics for how to connect J-Tag debugger to your board.
Example schematics could be found in the SDK. Each released evaluation platform has a schematics directory where the schematics are located.
If you use WiConnect, you really only need a serial port as your host micro doesn't need to know much about Wi-Fi at all. In that case, your micro really just configures the module through a simple API.
see here: http://wiconnect.ack.me